This paper characterizes informed trade when speculators can acquire distinct signals of varying quality about an asset’s value at different dates. The most reasonable characterization of private information about stocks is that while information is longlived, new information will arrive over time, information that may be acquired by others. Hence, while a speculator may know more than others a...

Does information asymmetry among traders of a firm’s stock increase its cost of capital? We first show that institutional traders in the Shanghai Stock Exchange have a strong information advantage. We then show that past aggressiveness of institutional trading in a stock is a good predictor of institutions’ current and future information advantage in this stock. Sorting stocks on this predictor...

Securities Trading when Liquidity Providers are Informed Abstract We study securities trading when liquidity is provided by informed agents—either because dealers have superior access to market information or because informed traders exploit strategies involving limit orders. In the case of informed dealers, we show that dealers and informed traders profit more at the expense of uninformed liqu...

I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when earnings are more volatile than cash flows...

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of competitors, especially when events occur at firms with large market shares. In the context of 759 earni...