Showing 1 - 10 of 2,794
We allow a strategic trader to choose when to acquire information about an asset's payoff, instead of endowing her with it. When the trader dynamically controls the precision of a flow of information, the optimal precision evolves stochastically and increases with market liquidity. However,...
Persistent link: https://www.econbiz.de/10012897901
We show that hedge funds gain an information advantage from their prime broker banks regarding the banks' corporate borrowers. The connected hedge funds make abnormally large trades in the stocks of borrowing firms prior to loan announcements, and these trades outperform other trades. The...
Persistent link: https://www.econbiz.de/10012901619
I study the effect of public information disclosure in a market setting where private information acquisition exhibits strategic complementarity. To overcome the issue of equilibrium multiplicity, I introduce heterogeneous information cost and imperfect information on the cost distribution. The...
Persistent link: https://www.econbiz.de/10012663661
We present a dynamic Grossman-Stiglitz model with endogenous information acquisition to explain the pre-FOMC announcement drift. Because FOMC announcements reveal substantial information about the economy, investors' incentives to acquire information are particularly strong days ahead of the...
Persistent link: https://www.econbiz.de/10013313084
We use a model with agency frictions to analyze the structure of a dealer market that faces competition from a crossing network. Traders are privately informed about their types (e.g. their portfolios), which is something the dealer must take into account when engaging his counterparties....
Persistent link: https://www.econbiz.de/10011705180
This study examines the role of differences in firms' propensity to meet earnings expectations in explaining why firms with high analyst forecast dispersion experience relatively low future stock returns. We first demonstrate that the negative relation between dispersion and returns is...
Persistent link: https://www.econbiz.de/10013250530
We analyze how public disclosure of informed investors' trades results in manipulation, which in turn affects coordination and competition in a duopolistic setting. We show that disclosure always increases market efficiency but its effect on informed investors' profit is ambiguous. When informed...
Persistent link: https://www.econbiz.de/10013006709
This paper studies equilibrium uniqueness in multi-asset noisy rational expectations economies with asymmetric information, an extension of Grossman and Stiglitz (1980). We show the existence of a linear equilibrium, and prove its uniqueness among equilibria with any continuous price function....
Persistent link: https://www.econbiz.de/10013019262
We study a set of trading restrictions imposed by Robinhood and other retail-oriented broker-dealers in 38 stocks, including GameStop. Restrictions limit equity and/or options positions. Stock price effects are large, with CARs averaging -13.54% within two hours after a stock’s first trading...
Persistent link: https://www.econbiz.de/10013221131
assets over time: naive investors who learn via a social network, ``fanatics'' possibly spreading fake news, and rational …
Persistent link: https://www.econbiz.de/10013235085