Based on the ongoing disclosure overload debate, this paper investigates how deregulation-driven decreases in quarterly disclosure affect information asymmetry. We exploit a German setting in which the minimum content requirements for quarterly reporting have been reduced for firms listed in the...

This paper examines how the sentiment of firm-specific news affects CDS spreads conditional on the degree of information asymmetry. Using a large set of news releases, we document a strong negative relationship between the sentiment of firm-specific news and CDS spreads. More importantly,...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

The underlying transparency of the Bitcoin blockchain allows transactions in the network to be tracked in near real-time. When someone transfers a large number of Bitcoins, the market receives this information and traders can adjust their expectations based on the new information. This paper...

We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these valuations, depend upon disagreement and the...

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...

We investigate the seasonality in the probability of information-based trading (PIN)-return relationship, the ‘January-PIN effect'. We find that on average stock returns decrease with PIN in January, in contrast to other calendar months. This pattern is more apparent for small stocks. We argue...

We analyze commonality in informed trading across stocks, and how informed trading varies with the structural and trading characteristics of a firm. We thereby isolate the residual level of informed trading that is unrelated to commonality, trading characteristics, and structural...

We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...