information passthrough channel, which we show is the quantitatively largest of the three. We find that price informativeness is …

In this paper we analyze the statistical properties of three popular measures of price discovery used in empirical … or time periods if the price process follows a martingale. The R2 of unbiasedness regressions is consistent for all price … samples. We find that weighted price contribution (WPC) is an unbiased estimator for driftless martingales. We characterize …

changes in volatility (co-jumps) is a fundamental aspect of the price process contributing, among other effects, to skewness …-correlated, contemporaneous changes in volatility. Not only are the price jump sizes strongly negatively correlated with the volatility jump sizes …-monotonic pricing kernel, we illustrate the equilibrium impact of price and volatility co-jumps on both return and variance risk premia …

a large empirical literature from the 1950's and 60's, that it is necessary to distinguish the response of price to an … two models that can potentially explain these findings. Both break the link between price and marginal cost, thereby … second is driven by firms pricing to limit non-price competition within their market …

apply risk measurements based on a) market and b) accounting data. We find that price and value co-move from 1983 to 2014 on … co-movement of price and value. However, conditioning on a co-movement of price and value, more conservatism is helpful …