on social networks, and employs inventive empirical methods, notably textual analysis, to quantify the rich information …

who agree to disagree about the precision of their private information. Although traders apply Bayes Law consistently …

We find that single-name options trading increases the absolute level of information content of prices (stock price … volume. Our findings are through the channels of investors' acquiring more information and through managers' information … disclosure. The findings are driven by firms with higher information asymmetry and firms with more efficiently priced options …

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 …