information and they can cancel their orders depending on expected profits. Monte-Carlo simulations reveal that reducing HF order …

) trading at the open and close. Return reversal and information advantage tests for robustness also support the modified …

’ learning experience by fostering the production of information that is new to managers. The increased investment … is robust to the inclusion of controls for managerial information, analyst coverage, and capital constraints …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

characteristic-sorted portfolios where information in the cross-section can be used to generate out-of-sample predictions. Finally, I …