We present a dynamic Grossman-Stiglitz model with endogenous information acquisition to
explain the pre-FOMC announcement drift. Because FOMC announcements reveal …

When an investor is faced with the option to purchase additional information regarding an
asset price, how much should she pay? To address this question, we solve for the …

This paper investigates the strategic interaction of information acquisition, information-based
dynamic trading, and noise trading patterns, as well as its significant implications on market …

We study the observability of investors' information-acquisition activities in financial markets.
Improving observability leads to two strategic effects on information acquisition:(1) the …

We study how dynamic research affects information acquisition in financial markets. In our
strategic trading model, the trader performs costly research to generate private information …

We propose a generalized continuous-time insider trading model, building upon the
frameworks of Caldentey and Stacchetti (2010) and Collin-Dufresne and Fos (2016), with a …

Insider trading should not be left unregulated: it should be either subject to mandatory
disclosure or banned altogether. As the costs to collect and process information drop …

We study the interaction between the usual inside information (about asset values) and
information about its existence (ie, about the existence of insiders) in an otherwise standard …

We find that information acquisition is associated with an improvement in market liquidity. An
empirical analysis of search activity using EDGAR as a proxy for information acquisition …

Revisions of consensus macroeconomic and earnings forecasts positively predict
announcement-day forecast errors, whereas stock market returns during forecast revision …