In this paper, we construct an information asymmetry factor (ECINF) based on the price discovery of large trades. ECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets, which is consistent with the view...

This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...

On financial markets, information is a highly demanded resource and processing it to (potentially) generate excess returns drives the activities of many market participants. Not surprisingly, this high relevance of information in markets culminates in a high research interest focusing on how...