How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex-ante measure of the tone of a message to study...

This paper studies the impact of public information on trading and market fragmentation in FTSE 100 stocks on the LSE and on Chi-X, the largest multilateral trading facility in Europe. We proxy daily public information through newswire messages which we di erentiate by their ex-ante sentiment....

Predatory trading can discourage investors from gathering information and trading on it. However, using 11 years of equity trading data, we do not find evidence that informed investors are being discouraged. They have roughly constant volumes and profits through the sample. They are...

Investors devote significant resources to producing private information. The value of such informational is eroded when it is leaked. We study the use of multiple brokers by institutions to help mitigate information leakage. We document that trades using multiple brokers better predict future...