We study how commodity financialization affects information transmission in a commodity futures market. The trading of financial traders injects both information and noise into the futures price. In consequence, price informativeness in the futures market first increases and then decreases with...

We model the strategic interaction between fundamental investors and "back-runners,'' whose only information is about the past order flow of fundamental investors. Back-runners partly infer fundamental investors' information from their order flow and exploit it in subsequent trading. Fundamental...

We study information production and diffusion resulting from dynamic interactions between different types of informed investors in financial markets. Using a theoretical framework that exploits the setting of the Q&A section of earnings conference calls, we predict that information production...

We analyze a rational expectations equilibrium model to explore the implications of information networks for the financial market. When information is exogenous, social communication improves market efficiency. However, social communication crowds out information production due to traders'...

This paper studies information sharing between strategic investors who are privately informed about asset fundamental with different precision levels. We find that a coarsely informed investor would always share her information “as is” if her counterparty investor is well informed about the...

This paper identifies a limit to arbitrage that arises from the fact that a firm's fundamental value is endogenous to the act of exploiting the arbitrage. Trading on private information reveals this information to managers and helps them improve their real decisions, in turn enhancing...