distorts traders' information acquisition, demands, and perceived equity premium, resulting in a security price mispricing. The … model helps to understand a linkage between liquidity and asset prices, proposes plausible explanations for large price …

prices as a source of information, since it introduces endogenous serial correlation in the price signal and cross …

rules. To explain these phenomena, we present a price formation model in which market makers are subject to ambiguity. When …

. Second, voluntary disclosure results in an ex-ante average decline in price informativeness. Paradoxically, ex-post voluntary …

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 …

information acquisition. This effect is most prominent when there is high uncertainty about economic fundamental. The theory …

We develop an information risk measure (ECIN) based on the price discovery of large trades. As the price series of … large trades and small trades are cointegrated, the price discovery of trades can be easily estimated via the vector error …-correction model (VECM). Intuitively, we use the VECM to study how a temporary gap between the large trade price and the small trade …