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  • Influence
Information and the Cost of Capital
We investigate the role of information in affecting a firm's cost of capital. We show that differences in the composition of information between public and private information affect the cost ofExpand
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Is Information Risk a Determinant of Asset Returns
We investigate the role of information-based trading in affecting asset returns. Expand
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This paper investigates the effect of trade size on security prices. We show that trade size introduces an adverse selection problem in:o security tradin, 0 because, given that they wish to trade.Expand
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Liquidity, Information, and Infrequently Traded Stocks
This article investigates whether differences in information-based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, weExpand
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Time and the Process of Security Price Adjustment
This paper delineates the link between the existence of information, the timing of trades, and the stochastic process of prices. The authors show that time affects prices, with the time betweenExpand
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Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
This paper investigates the informational role of transactions volume in options markets. We develop an asymmetric information model in which informed traders may trade in option or equity markets.Expand
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Market Statistics and Technical Analysis: The Role of Volume
The authors investigate the informational role of volume and its applicability for technical analysis. They develop a new equilibrium model in which aggregate supply is fixed and traders receiveExpand
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The ¬Smake or Take� Decision in an Electronic Market: Evidence on the Evolution of Liquidity
We use experimental asset markets to investigate the evolution of liquidity in an electronic limit order market. Expand
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Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
Purchased order flow refers to the practice of dealers or trading locales paying brokers for retail order flow. It is alleged that such agreements are used to 'cream skim' uninformed liquidityExpand
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Flow Toxicity and Liquidity in a High-frequency World
Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalanceExpand
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