Using a novel dataset that tracks all web traffic on the SEC's EDGAR servers from 2008-2011, we examine the determinants and capital market consequences of investor information acquisition of SEC filings. The average user employs the database very few times per quarter and most users target...

Abstract I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze the rise of algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of...

We explore the optimal timing of voluntary disclosures by firms. By delaying disclosure of a signal, firms encourage the acquisition of correlated signals by reducing informed investors' exposure to the long-term risk of holding the asset. Immediate disclosure reduces rents from acquiring the...

Using a novel dataset containing investors' access of company filings through the SEC's EDGAR system, we show that the abnormal number of IPs searching for firms' financial statements strongly predicts future stock returns and firm fundamentals. Consistent with theories of costly information...

This paper studies the role of information acquisition in propagating/stabilizing uncertainty shocks in a dynamic financial market.In a static world, uncertainty raises the value of information, which encourages more information acquisition. In a dynamic world, however, uncertainty can depress...

We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i)...

The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable...