Evans, Martin D. D. (contributor); … - 2005
knowledge (CK), trades per
se have no causal e�ect on price. Demand shifts have causal e�ects on price. But because demand … true
state of fundamentals in month t 2; ft 2; is common knowledge after the month t announcement. The
second source of … knowledge to all dealers
is analyzed in detail in Evans and Lyons (2004a). Here we make a reduced-form assumption about this …