available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo … subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated …

This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

We propose a joint theory of time-series momentum and reversal based on a rational-expectations model. We show that a … necessary condition for momentum to arise in this framework is that information flows at an increasing rate. We focus on word …

a dynamic heterogeneous agents model featuring overconfidence and slow information diffusion which is able to both …

asset's value upon observing the price, but only when the price clearly reveals that others obtained private information … that differs from their own private information. In particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …

local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher …-adjustment models. And double-sorted analysis suggests that ARA imposes a much stronger influence on firms with worse information …