new information releases: first, the extent of differences in investors' prior beliefs; second, differences in their … interpretations of the information; and third, the level of consensus that the information release induces among them. Although these … information have tended to combine these three fundamental determinants, thereby masking their distinct incremental effects on …

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics …

information asymmetry within the interest rate futures market, demonstrated by an increased sensitivity to order flow. Finally …, the pattern of order imbalance immediately prior to scheduled announcements suggests that there is no information leakage …

We document how imperfect information generates heterogeneous effects in information treatments with personalized high … boomerang effects provide evidence that peer-comparison information programs, even those coupled with normative comparisons, are …

estimation of market returns by providing a new indicator that accounts for the information content in prices and trading volumes …

participation and systematic improvements in the quality of traders' information lead to higher volume, larger order imbalances …

This paper investigates whether information complementarities can explain the strong patterns of sectoral comovement … decisions are based on aggregate information rather than sector-specifi c information, because the former is less costly …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …