We analyze a model of informed trading where an activist shareholder accumulates shares in an anonymous market and then expends costly effort to increase the firm value. We find that equilibrium prices are affected by the position accumulated by the activist, because the level of effort...

We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's lambda, the price sensitivity to the order flow, can even be nonmonotonic, depending...

Aim. High Frequency Trading poses a large number of ethical questions. The purpose of this study is to examine the ethical perceptions of those who work inside the HFT industry.Method. The research consisted of a case study. Participants (N=30) were high frequency traders, algorithm developers,...

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model, equilibrium is characterized by the unique root of a...

In this paper, I identify and correct a set of problematic predictions in the existing theoretical literature on asset pricing with rumors. For example, unlike what is argued in the literature, I show that informative rumors are not profitable for all asset value distributions. Further, that for...

This paper contributes to the debate on the consequences of increased disclosure regulation by investigating the effects of expedited reporting requirements of Form 4 filings, mandated by the Sarbanes-Oxley Act (SOX), on the market response to earnings announcements. We first confirm that SOX...

We find strong evidence that net insider selling is positively associated with future stock return volatility, consistent with insider selling increasing outside investors' uncertainty. The positive effect of net insider selling is significantly stronger when the volatility is measured around...

This paper examines how the probability of informed trading (PIN), a measure of information-based trading risk developed by Easley et al (1996), affects the speed at which stock prices adjust to market-wide information. We find that in all but the least active stock portfolios, prices of low PIN...