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 …

We propose a joint theory of time-series momentum and reversal based on a rational-expectations model. We show that a … necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word …

a dynamic heterogeneous agents model featuring overconfidence and slow information diffusion which is able to both …

asset's value upon observing the price, but only when the price clearly reveals that others obtained private information … that differs from their own private information. In particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …

Using several measures of information share, we examine price discovery across the inter-dealer and dealer …-customer market tiers in the currencies market. In the spot market, the information share of the inter-dealer tier is higher than that … investors' sell trades. In the forward market, the dealer-customer tier generally has the greater information share at the …

rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future … dividends and trade in centralized markets. Information is processed, transmitted, and aggregated in two ways: (i) agents meet … randomly and exchange information through word-of-mouth communication, and (ii) the price aggregates information through the …

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …

information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors …