-time position adjustments suggests this quarterly pattern might reduce price informativeness. Consistent with this possibility, we … find that quarter-ends are associated with greater subsequent return reversals and lower price efficiency. Additional tests … support a link between disclosure-driven trades and lower price efficiency …

across agents, time and currency pairs, consistent withthe asymmetric information theory and OTC market fragmentation. A … trading strategybased on the permanent price impact, capturing asymmetric information risk, generateshigh returns even after …