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This study reveals previously undocumented geography-related diversity in information acquisition. Exploiting the Security and Exchange Commission (SEC)'s Electronic Data Gathering and Retrieval (EDGAR) server log, which tracks use by Internet Protocol (IP) address, we find that acquisition of...
Persistent link: https://www.econbiz.de/10012823358
Large orders, particularly from institutions, are quite common these days and hence there is interest to know if institutional trading has any bearing on the price effect associated with large trades. Recent empirical studies contradict earlier evidence of negative price effect on selling large...
Persistent link: https://www.econbiz.de/10014225470
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
We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...
Persistent link: https://www.econbiz.de/10014447256
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
information acquisition. This effect is most prominent when there is high uncertainty about economic fundamental. The theory …
Persistent link: https://www.econbiz.de/10012663661
associated with realizations of risk premium, generating a pre-FOMC announcement drift. Because our theory does not rely on …
Persistent link: https://www.econbiz.de/10013313084
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10003994517
In case of multiple creditors a coordination problem can arise when the borrowingfirm runs into financial distress. Even if the project's value at maturity is enoughto pay all creditors in full, some creditors may be tempted to foreclose on theirloans. We develop a model of creditor coordination...
Persistent link: https://www.econbiz.de/10003636427