This paper studies the role of information acquisition in propagating/stabilizing uncertainty shocks in a dynamic financial market.In a static world, uncertainty raises the value of information, which encourages more information acquisition. In a dynamic world, however, uncertainty can depress...

I study the effect of public information disclosure in a market setting where private information acquisition exhibits strategic complementarity. To overcome the issue of equilibrium multiplicity, I introduce heterogeneous information cost and imperfect information on the cost distribution. The...

I study the effect of public information disclosure in a market setting where private information acquisition exhibits strategic complementarity. To overcome the issue of equilibrium multiplicity, I introduce heterogeneous information cost and imperfect information on the cost distribution. The...

This paper studies dynamic information acquisition in financial markets with information asymmetry. It first shows that multiplicity can arise in the information market due to a dynamic complementarity in information acquisition. It then characterizes interactions between information...

This paper studies dynamic information acquisition in financial markets with information asymmetry. It first shows that multiplicity can arise in the information market due to a dynamic complementarity in information acquisition. It then characterizes interactions between information...

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S....

We study return comovement and relative pricing of two classes of shares with identical voting rights and cash-flow rights but for different investor clienteles: A-shares for domestic investors and B-shares for foreign investors. We first document a surprisingly low return comovement between A-...

Using a novel dataset that tracks all web traffic on the SEC's EDGAR servers from 2008-2011, we examine the determinants and capital market consequences of investor information acquisition of SEC filings. The average user employs the database very few times per quarter and most users target...

We study the effect of introducing an options market on investors' incentive to collect private information in a rational expectation equilibrium model. We show that an options market has two effects on information acquisition: a negative effect, as options act as substitutes for information,...