Using several measures of information share, we examine price discovery across the inter-dealer and dealer …-customer market tiers in the currencies market. In the spot market, the information share of the inter-dealer tier is higher than that … investors' sell trades. In the forward market, the dealer-customer tier generally has the greater information share at the …

rational expectations model consistent with this observation. An infinity of agents possess dispersed information about future … dividends and trade in centralized markets. Information is processed, transmitted, and aggregated in two ways: (i) agents meet … randomly and exchange information through word-of-mouth communication, and (ii) the price aggregates information through the …

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …

information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors …

consistent with optimal learning theories that posit that individuals will place greater weight on new information in … environments with greater uncertainty, such as down markets, which implies that information will be reflected in asset prices more …