In this paper we build a formal model to study market environments where information is costly to acquire and is of use also to potential competitors. In such situations a market for information may form, where reports - of unverifiable quality - over the information acquired are sold. A...

This paper investigates the predictability of jump arrivals in U.S. stock markets. Using a new test that identifies jump predictors up to the intraday level, I find that jumps are likely to occur shortly after macroeconomic information releases such as Fed announcements, nonfarm payroll reports,...

We apply a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application focuses on the dynamic interaction between reported earnings and analysts' forecasts. Based on long time series of analyst earnings forecasts and...

When a firm issues a management forecast, analysts who have observed more forecasts from this firm since covering it (i.e., have more MF-experience) subsequently improve their own accuracy more and provide timelier earnings forecasts for other (non–issuing) firms in the same industry. We also...