The measurement problems encountered while trying to exhibit the influence of market risk factor on asset returns may be numerous. It seems then difficult to highlight the unique common latent factor underlying stock return evolutions in the market. So far, excess return relationships are mainly...

Through an orthogonalized impulse-response analysis, I studied the relationship between the variance risk premium, market variance and stock correlations in the French stock market from September 2002 through September 2006, using high-frequency data-based measures. Variance risk premium is...

The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...

We introduce a novel method to identify information networks in stock markets, which explicitly accounts for the impact of public information on investor trading decisions. We show that public information has a clear effect on the empirical investor networks' topology. Most importantly, our...

We separate downloads on the SEC EDGAR database into human and machine actions by the intensity of information retrieval (Ryans, 2017). The split shows that the extent of machine downloads has risen 35 times since 2004, accounting for over 96% of total downloads as of 2016. We formally...

We present a competitive model of takeovers that explains two robust features of the data: target premia and size-dependent bidder returns. Takeovers are driven by complementarity between two factors, non-tradeable "skill" and a tradeable "project". Firms are heterogeneous in both dimensions....