We find that pre-announcement implied volatility spreads and options trading activity are abnormally elevated can predict Food Drug Administration (FDA) announcement date stock returns. The effect is more pronounced in firms with higher levels of information asymmetry lower-quality corporate governance suggesting some traders informed advance the details affect price impact FDA news. provide fi...

Using a rational expectations equilibrium framework, I evaluate the effects of short-sale prohibition in an economy with asymmetrically informed investors who are identical except for their information sets. Relative to which short selling is permitted, financial market less informationally efficient under ban even when not binding. This alters risk-sharing environment and leads increase acquis...

This study extends prior work on the measurement of informed trading to the Brazilian equity market. The quantitative analysis employed two market cleanliness methodologies that have been widely applied in academic and regulatory research and that could be replicated using public data. The analysis advances our understanding of Brazil’s capital market integrity, provides a baseline for assessme...

Short-termism need not breed informational price inefficiency even when generating Beauty Contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning to reasses...

In asymmetric information models of financial markets, prices imperfectly reveal the private information held by traders. Informed insiders thus have an incentive not only to trade less aggressively but also to manipulate the market by trading in the wrong direction and undertaking short term losses, so as to ‘confuse’ the market and increase the noise in the trading process. In this paper we s...