Hellwig's (1980) model is used to analyze the value of improving trading opportunities by more frequent trading in the underlying asset, or by trading in a derivative asset. With multiple trading sessions, uninformed investors behave as rational trend followers, while more informed investors...

The optimal portfolio strategy is developed for an investor who has detected an asset pricing anomaly but is not certain that the anomaly is genuine rather than merely apparent. The analysis takes account of the fact that the parameters of both the underlying asset pricing model and the...

In this article we are concerned with the effect of the number of investment analysts following a firm on the speed of adjustment of the firm's stock price to new information that has common effects across firms. It is found that returns on portfolios of firms that are followed by many analysts...