This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

This paper models the interactions among technological innovation, product market competition and information leakage … technology either early on as a leader or later once stock prices reveal the value of the technology. Information leakage thus … market competition increases the option value of waiting but has an ambiguous effect on information production. It may thus …