This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential information content in real estate stocks compared to other asset classes. After linking substantially...

This paper examine the impact of noise trading on stock liquidity in China. We construct a theoretical model including noise traders, rational traders, and insiders, and test the model using transaction data on individual stocks in the CSI-300 (China-Shanghai-Shenzhen-300-Stock Index) in 2020....