Governance characteristics are potentially a proxy for information asymmetry that may be better captured by the market liquidity of a company's shares. Although liquidity has been established as a risk factor in the asset-pricing paradigm, there is still an ongoing debate as to whether...

Prior literature documents a temporary spike in information asymmetry between sophisticated and unsophisticated traders around corporate disclosures because the former process new information faster. Using advances in textual analysis, we show that when management issues more ambiguous or less...

Prior literature documents a temporary spike in information asymmetry between sophisticated and unsophisticated traders around corporate disclosures because the former process new information faster. Using advances in textual analysis, we show that when management issues more uncertain financial...

Using daily equity transactions, we create a hedge fund informed trading measure (ITM) that separates information related trades from liquidity driven trades. We find that stocks with higher hedge fund informed trading are associated with higher future stock performance. The long-short portfolio...