This study shows that the information content of FX transactions depends on the identity of market participants. Using spot FX transactions of a major Australian bank, we find that central banks have the greatest price impact, followed by non-bank financial institutions (NBFIs) such as hedge...

The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the Samp;P500 and our...

Extreme adverse selection arises when private information has unbounded support, and market breakdown occurs when no trade is the only equilibrium outcome. We study extreme adverse selection via the limit behavior of a financial market as the support of private information converges to an...

This paper is concerned with the estimation of coefficients of continuous-time hidden Markov models when the observations are sampled at discrete times, with a view towards financial applications. These estimates are commonly computed from discretely and frequently-sampled returns. However,...

Motivated by the fact that investors have limited time and attention in processing information, this paper provides a continuous time equilibrium model to analyze the effects of a capacity constraint in the learning process of a representative investor. Facing multiple sources of uncertainty,...

This article relates interim financial reporting frequency in a multiperiod Kyle framework to securities prices, trading volume, market liquidity, and analysts' information acquisition expenditures. The model supports conventional wisdom that more frequent interim reporting improves the...

This paper extends the Santa Fe Artificial Stock Market Model (SFASM) studied by LeBaron, Arthur and Palmer (1999, Journal of Economic Dynamics and Control 23, 1487-1516) in two important directions. First, some might question whether it is reasonable to assume that traders are capable of...

A market of artificially intelligent traders is constructed to buy and sell a risky asset along with a risk free bond. Prices of the risky asset are determined endogenously from the interactions of the strategies which make trades and gather data. Each trader tries to learn about the world...

This study provides evidence on the common determinants for two prominent features of equity market volatility: its persistence over time and its asymmetric dependence on past returns. We show that daily volatility persistence increases with current returns, especially negative returns. It...

Individual investors often neglect value-relevant accounting information and instead underperform by trading on technical trends. We investigate the frictions that impede individual investors' use of accounting information, and in particular their costs of monitoring and acquiring accounting...