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 …

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 …

We investigate the role of information‐based trading in affecting asset returns. We show in a
rational expectation example how private information affects equilibrium asset returns. …

The moment when the hyperconnectedness of our world became most evident to me was on
October 20th, 2011, when images of the death of Colonel Muammar el-Qaddafi, the former …

This paper investigates the effect of trade size on security prices. We show that trade size
introduces an adverse selection problem into security trading because, given that they wish to …

This paper delineates the link between the existence of information, the timing of trades,
and the stochastic process of prices. We show that time affects prices, with the time between …

The trade process is a stochastic process of transactions interspersed with periods of inactivity.
The realizations of this process are a source of information to market participants. They …

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 …

We investigate the informational role of volume and its applicability for technical analysis.
We develop a new equilibrium model in which aggregate supply is fixed and traders receive …

Using the model structure of Easley and O'Hara (Journal of Finance, 47, 577–604), we
demonstrate how the parameters of the market-maker's beliefs can be estimated from trade data. …