This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

We investigate how short sellers strategically exploit the liquidity generated by the arrival of ambiguous information … – i.e. information likely to cause disagreement in interpretation. Using a sample of newspaper articles, media newswires …, and press releases, we construct a measure of information tangibility as the ratio of numbers to the total words in an …

We develop a return variance decomposition model to separate the role of different types of information and noise in … stock price movements. We disentangle four components: market-wide information, private firm-specific information revealed … through trading, firm-specific information revealed through public sources, and noise. Overall, 31% of the return variance is …

We examine the effects of local newspapers on firms’ information environments. With newspaper employment dropping … precipitously in the last few decades, we posit that these changes will have a detrimental effect on local firms’ information … environments. Consistent with local news improving information environments, we find that local newspaper intensity is negatively …

private information. This suggests that economists' inability to explain asset price movements is the result of either noise …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

available information. Using a database of short sales combined with a database of news releases, we show that the well … valuable trading opportunities for short sellers who are skilled information processors …

non-public information. However, the question of whether politicians made informed trades at the market level (using non …-public macroeconomic information, not just firm-specific information) in the first place and whether they continued to do so even after the … market returns. Our results imply that politicians used non-public macroeconomic information prior to the STOCK Act, and this …

Investor disagreement about public information precision can be pervasive and persistent. This paper shows that when …