The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

We propose a costly information acquisition model to explore the mechanism of the process from the strategies of information acquisition to price informativeness. The profit-seeking characteristics of free-access market environments hinder the transmission channel of high-precision information...

We propose an information production model to explore the mechanism of the process from entry barriers to market quality. Entry barriers depicted by a level of information precision, affect the interactive behavior between information producers and rational investors, thereby acting on market...

We introduce the ambiguity towards risk, defined as the variance of signals, as a source of investors’ uncertainty to supplement risk. When public signals arrive, all traders are informed, but they react diversely. We propose a piecewise optimal demand schedule for ambiguity-averse investors,...