Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity...

This paper examines the so far unexplored relationship between short selling and news. It starts with a theoretical analysis of short selling’s potentially beneficial and harmful effects, a brief history of its regulation and a review of the existing empirical literature. The study that...

Information markets are markets for contracts that yield payments based on the outcome of an uncertain future event, such as a presidential election. They can provide real-time information on the likely benefits and costs of different kinds of policies and projects.We argue that information...

Prediction markets are markets for contracts that yield payments based on the outcome of an uncertain future event, such as a presidential election. Using these markets as forecasting tools could substantially improve decision making in the private and public sectors. We argue that U.S....

Information markets are markets for contracts that yield payments based on the outcome of an uncertain future event. They are used to predict a wide range of events, from presidential elections to printer sales. These markets frequently outperform both experts and opinion polls, and many...

I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their...

This paper tests whether stock market investors appropriately distinguish new and old information about firms. The staleness of a news story is its textual similarity to the previous ten stories about the same firm. The tests show that firms' stock returns are less responsive to stale news. Even...

I investigate the relationship between liquidity and market efficiency using data from short horizon binary outcome securities listed on the TradeSports exchange. I find that liquidity does not reduce, and sometimes increases, deviations of prices from financial and sporting event outcomes. One...