, by unobserved shocks to participation by informationless traders, and by real investment. The equilibrium relations …

lead to a market breakdown where information production ceases, and investment and firm value collapse. Our theory sheds …We analyze information production incentives for traders in financial markets, when firms condition investment …'s investment project increases with the ex ante likelihood the project will be undertaken. This generates an informational …

We examine how different investment horizons, and consequently the number of hands through which a security passes …-horizon investors; (ii) for a given maturity of security, price deviations increase as investment horizons shrink (and frequency of … transfers increases); and (iii) short investment horizons create upward pressure on prices when liquidity is high and downward …