typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors …

prospect theory. This paper also suggests IVOL opposite strategy for investors to generate significant returns by collecting …

model for investors facing information and liquidity shocks. These shocks induce speculative and liquidity-motivated order … imbalances (OIB). Furthermore, we obtain a very simple expression for a security's aggregate private information shock: its … our private information measure (based on daily data for all S&P 1500 stocks over 2001-2010) by showing that it is …

We show that mutual funds use information acquired by participating in the equity lending market to make portfolio … information acquisition in the lending market allows lenders to front-run public disclosure of large short positions. The results … suggest that the securities lending market provides a mechanism for mutual funds to acquire information …

I study short-sale constraints in a market with asymmetric information. I offer a novel approach endogenizing short … information to a lender. The lender trades on her own account in addition to charging fees, which motivates the short-seller to … hide the information and hinders short sales. I contribute to the literature by modeling the mechanism behind short …