We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market microstructure noise dynamics. We address this errors-in-variable issue using instrumental variables. We devise valid instruments for two...

We propose a novel way to assess information processing in a complex environment of market fragmentation. We take a different angle from the price discovery literature, and investigate information processing in the stochastic process driving stock's volatility (volatility discovery). We show...

This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....