This paper investigates the order in which new information is first reflected in the market – through changes in … show that indeed depths rather than spreads are first to impound new information that leads to new quote trends …. Specifically, (bid and ask) depths convey information first in virtually every stock in both years, while spreads almost never …

long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of …

This paper studies the international portfolio flows of US investors to examine the information structure of … international equity markets. We use an empirical model of portfolio flows with both public and private information to extract … measures of trades due to private information. We find that such trades are highly correlated across countries. In particular …

profit from the experts. However, most media lack any real information that is not yet reflected in stock prices. In short …

information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed …