We develop a model linking stock ownership and returns to the distribution of private information and quality of public information. Supporting the model, we find that the firm's information environment affects investors' propensity to hold and trade its stocks, but its effects hinge on...

We investigate whether access to information prior to an IPO generates a trading advantage after the IPO. We find that limited partners (LPs) of venture capital funds obtain high returns when they invest in newly listed stocks backed by their funds. These returns are not explained by LPs'...

Banks produce short-term debt for transactions and storing value. The value of bank money must not vary over time so agents can easily trade this debt at par. This requires that no agent finds it profitable to produce costly private information about the bank's loans. To produce safe liquidity...

Stock prices incorporate less “news” before negative events than positive events. Further, we find evidence that informed agents use less price aggressive (limit) orders before negative events and more price aggressive (market) orders before positive events ("buy-sell asymmetry"). Motivated...

We analyze a model where different traders are informed of different fundamentals that affect the security value. We identify a source for strategic complementarities in trading and information acquisition: The aggressive trading on information about one fundamental reduces the uncertainty in...

Public information is widely viewed as a way to level the playing field among investors. We provide evidence that is inconsistent with this notion; public information can make private signals more valuable. Hedge funds acquiring public information subsequently earn 1.5%-higher annualized...

We extend a standard, rational expectation model of trade to incorporate the possibility of individual investors delegating their trades to an informed financial intermediary. In the presence of delegated trade, we show that a firm's risk premium is a function of both the firm's exposure to a...

This paper followed a similar Amihud and Mendelson (1986) methodology to empirically examine the relationship between expected stock's return and the bid-ask spread in the Korean corporate market. We could noticed a significant and positive bid-ask spread. The result recognized information...

We study a unique Chinese dataset of equity analysts' on-site visits to publicly listed companies. We find that analyst silence (no release of report from visit date to the next quarterly earnings announcement) contains information that negatively impacts both stock returns and earnings...