This paper develops a strategic trading model in which the market maker has a monopoly on short-lived information. Given that modern market makers are high frequency traders, it is assumed that market makers are able to process any short-lived information event faster than other traders. Since...

Under short-sales restrictions, we document a phenomenon where the market reacts again to publicly available adverse information, to which it has already responded before. We employ a Japanese dataset endowed with distinctive regulatory features pertaining to trading restrictions for a specific...

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during embargoes of the Federal Open Market Committee's scheduled announcements. The E-mini S&P...

This paper examines how multidimensional private information by asset sellers affects market equilibrium. I find that when asset quality is the only source of private information, sellers with high-quality assets signal their quality to buyers through partial retention of assets if and only if...

This dissertation consists of three essays examining the behavior of informed traders in financial markets and how they affect asset pricing. It examines informed traders' role in shaping securities prices in three ways. It examines whether on a macro and micro basis insider traders move prices...

This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon the regulatory reforms of the Chinese stock market liberalization in 2001 and 2002. In contrast with the widespread belief that...