Using NYSE TAQ data, we compute MLEs of the primitive parameters of a Kyle-type model, including the variance of fundamentals given only public information, the variance of errors in private signals, and the variance of uninformed liquidity trading (noise). An out of sample test shows that the...

This paper takes a step towards assessing the importance of the role of prices as signals of aggregate information, by developing an approach to estimating primitive parameters of a noisy rational expectations model under perfect competition, when both prices and terminal values are observable....

In this paper, we provide an equilibrium explanation for the observed optimism in analysts' earnings forecasts. Our analysis provides theoretical support to the widely held notion that analysts engage in earnings optimism to gain access to management's private information. We show that a...

This paper provides estimates of overall informational efficiency in futures markets on India's National Stock Exchange. We do not examine the price reaction to any public announcement. Instead, we invoke the Hellwig (1980) model, and exploit the property that for futures contracts the terminal...

We model and estimate analysts' herding propensity with I/B/E/S annual earnings forecast data. Compared to prior studies, our paper has three unique features. First, we estimate analysts' true posterior beliefs of a firm's earnings assuming rational expectations rather than using analysts' own...

We build a simple model of analysts' propensity to herd. Using ideas from GMM and simulated method of moments, we estimate an analyst's herding propensity with I/B/E/S forecast data from 1989-2004. We find that, of the analysts whose herding propensity is defined by our model, 85% of them tend...

A shop-floor supervisor or team leader can raise productivity either directly, by contributing on the line, or indirectly, by helping other team members via training and problem-solving. In this paper, we address the issue of how supervisors allocate their discretionary time between these two...

We build a Kyle-type pricing model with earnings and trading signals and estimate its deep parameters - the information advantages of traders and firms, the correlation between the firm and traders' information, and the noise variance. Moment conditions derived from the pricing rule yield a...