Cespa, Giovanni; Vives, Xavier - IESE Business School, Universidad de Navarra - 2011
public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher …-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when … HOEs about fundamentals are subdued, prices under-rely on public information, the market hovers in a high liquidity state …