We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other …

information about beliefs of the participants who have the most intimate contact with the trading process. …

This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets …. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more … predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from …

This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting traders …' demands in multi asset noisy, rational expectations equilibrium markets. The role that information plays in traders …

consumption, proxies well for investors' relevant information set …

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … simple changes in option-implied volatilities to study information gleaned from earnings announcements. Finally, we apply our …

recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively …

bounds for both covariances and correlations and show how such bounds can be tightened using information beyond the …