Market reactions to non-fundamental news (or no-news) reverse for extreme firm information environments. A one percentage increase in intangible returns for small firms (large firms) lead to a 0.67% decrease (0.39% increase) in monthly returns over the next 12 months. The results are robust to...

This paper studies how mandatory transparency (through TRACE), along with long term incentive of informed dealers, affect market price informativeness, liquidity and welfare in dynamic over-the-counter (OTC) markets. We show public disclosure of additional information about past trades,...

How effectively does a decentralized marketplace aggregate information that is dispersed throughout the economy? We study this question in a dynamic setting where sellers have private information that is correlated with an unobservable aggregate state. In any equilibrium, each seller's trading...

We analyze a model in which information may be voluntarily disclosed by a firm and/or by a third party, e.g., financial analysts. Due to its strategic nature, corporate voluntary disclosure is qualitatively different from third-party disclosure. Greater analyst coverage crowds out (crowds in)...

This paper studies how public disclosure of past trade details affects price discovery dynamics under asymmetric information with heterogenous hedging motives. We model that an informed buyer (informed trader) sequentially trades with a series of uninformed sellers (hedgers). The informed buyer...

We provide a theoretical rationale for dealer objections to ex-post transparency in corporate bond and other OTC markets: Disclosure of the terms of a transaction conveys information possessed by the dealer about the asset quality and reduces the dealer's rents when she disposes of the inventory...

This paper studies information aggregation in financial markets with recurrent investor exit and entry. I consider a dynamic general equilibrium model of asset trading with private information and collateral constraints. Investors differ in their aversion to Knightian uncertainty: When...

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

We study how transparency, modeled as information about one's counterparty liquidity needs, affects the functioning of an over-the-counter market. In our model, investors hedge endowment risk by trading bilaterally in a search-and-matching environment. We construct a bargaining procedure that...