pith. machine review for the scientific record. sign in

arxiv: 2605.11180 · v1 · submitted 2026-05-11 · 💱 q-fin.GN · econ.GN· q-fin.EC· q-fin.TR

Recognition: 2 theorem links

· Lean Theorem

The Value of Information: A Puzzle

Asaf Manela, Ohad Kadan

Pith reviewed 2026-05-13 00:45 UTC · model grok-4.3

classification 💱 q-fin.GN econ.GNq-fin.ECq-fin.TR
keywords value of informationinformed tradingorder flowcovariancemarket makingnoise tradershigh frequency data
0
0 comments X

The pith

The covariance between price changes and order flow measures the total value of information to informed traders.

A machine-rendered reading of the paper's core claim, the machinery that carries it, and where it could break.

The paper establishes that under mild assumptions the total value of information to informed traders equals the covariance between price changes and order flow. This covariance captures the losses suffered by noise traders, which equal the gains of informed traders when market making is competitive. Using high-frequency data on US equities the authors arrive at an average annual value of about 3.5 million dollars per stock. The aggregate value across all stocks equals roughly 0.04 percent of total market capitalization. This amount is far smaller than the 0.67 percent of market cap that investors pay each year in fees to pursue superior returns, which sets up the central puzzle the authors discuss.

Core claim

Under mild assumptions the total value of information to informed traders equals the covariance between price changes and order flow. This covariance captures the losses of noise traders, which match the profits earned by informed traders when market makers compete away their own rents.

What carries the argument

The covariance between price changes and order flow, which equals noise-trader losses under competitive market making.

If this is right

  • The value of information becomes directly measurable from observable trading data without identifying individual informed traders.
  • High-frequency equity data yield an average per-stock value of about 3.5 million dollars per year.
  • The economy-wide total equals only 0.04 percent of market capitalization.
  • This scale sits well below the fees investors pay to search for superior returns, posing a puzzle about the returns to information acquisition.

Where Pith is reading between the lines

These are editorial extensions of the paper, not claims the author makes directly.

  • The low measured value suggests that much private spending on information search may produce little net advantage once prices adjust.
  • The mechanism implies that competitive market making mainly redistributes wealth from noise traders to informed ones at modest aggregate scale.
  • The same covariance approach could be applied to other asset classes or to periods of varying liquidity to test robustness.

Load-bearing premise

Market making is competitive, so noise trader losses exactly equal informed trader gains.

What would settle it

Direct records of informed traders' realized profits in a market with competitive market makers should differ from the measured covariance if the equality fails to hold.

Figures

Figures reproduced from arXiv: 2605.11180 by Asaf Manela, Ohad Kadan.

Figure 1
Figure 1. Figure 1: Value of information over time 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 Month 0 1 2 3 4 5 6 7 8 9 10 11 Value of information, USD millons per year (95% CIs) (a) Value of information in levels 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 Month −6 −5 −4 −3 −2 −1 0 1 2 3 4 5 6 −0.6 −0.4 … view at source ↗
Figure 2
Figure 2. Figure 2: Value of information rises when firms report earnings [PITH_FULL_IMAGE:figures/full_fig_p025_2.png] view at source ↗
Figure 3
Figure 3. Figure 3: Value of information by stock 0 200 400 600 800 1,000 Market equity, USD billions 0 10 20 30 40 50 Value of information, USD millons per year PSQHMIRA RGTIGALTNUSCRTD QUBT COIN RGSE IBIO GOOG BBIG TSLA MMAT AMZN Notes: Mean value of information plotted against mean market equity for each specific stock (permno). The value of information is the annualized sum of the product of share price changes times sign… view at source ↗
Figure 4
Figure 4. Figure 4: Value of information as percentage of market capitalization [PITH_FULL_IMAGE:figures/full_fig_p030_4.png] view at source ↗
read the original abstract

We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed trader gains when market making is competitive. We estimate the value of information using high frequency data on US equities at about $3.5 million per year for the average stock. The aggregate value of information is about 0.04% of market cap, which is considerably lower than the 0.67% in fees investors pay each year searching for superior returns (French 2008). We discuss potential resolutions for these puzzling findings.

Editorial analysis

A structured set of objections, weighed in public.

Desk editor's note, referee report, simulated authors' rebuttal, and a circularity audit. Tearing a paper down is the easy half of reading it; the pith above is the substance, this is the friction.

Referee Report

2 major / 1 minor

Summary. The paper claims that under mild assumptions, the total value of information to informed traders equals the covariance between price changes and order flow, because this covariance captures noise-trader losses that exactly offset informed-trader gains when market makers earn zero expected profits. Using high-frequency US equity data, the authors estimate an average annual value of information of roughly $3.5 million per stock and an aggregate value of 0.04 percent of market capitalization, far below the 0.67 percent of market cap that investors pay in fees to search for superior returns (French 2008). The paper presents this discrepancy as a puzzle and discusses possible resolutions.

Significance. If the central identification holds, the paper supplies a simple, observable, and largely parameter-free measure of the aggregate value of information that follows directly from standard microstructure accounting identities rather than from fitted parameters or strong functional-form restrictions. The empirical magnitudes are striking and falsifiable, and the contrast with French (2008) quantifies a potentially important wedge between the social value of information and the private costs of acquiring it. The approach therefore has the potential to inform both theoretical work on market efficiency and policy discussions about active management.

major comments (2)
  1. [Derivation of the covariance measure] The derivation that equates the covariance of price changes and order flow to total informed-trader profits rests on the competitive-market-making assumption that market makers earn zero expected profits. This step is load-bearing for the central claim; the manuscript should state the precise accounting identity used and verify that no additional restrictions (for example, on the timing of information revelation or on the composition of order flow) are required for the equality to hold exactly.
  2. [Empirical estimation section] The empirical implementation requires explicit documentation of the data filters, the precise definition of order flow, the sampling frequency, and any adjustments for bid-ask bounce or other microstructure noise. Without these details the reported $3.5 million per-stock figure cannot be replicated or stress-tested against alternative liquidity proxies.
minor comments (1)
  1. [Abstract] The abstract states the aggregate value is 'considerably lower' than French (2008); a brief sentence reconciling the two percentages (for example, noting differences in market-cap definitions or time periods) would improve comparability.

Simulated Author's Rebuttal

2 responses · 0 unresolved

We thank the referee for the constructive comments. We address each major comment below, indicating where revisions will be made to improve clarity and replicability.

read point-by-point responses

  1. Referee: The derivation that equates the covariance of price changes and order flow to total informed-trader profits rests on the competitive-market-making assumption that market makers earn zero expected profits. This step is load-bearing for the central claim; the manuscript should state the precise accounting identity used and verify that no additional restrictions (for example, on the timing of information revelation or on the composition of order flow) are required for the equality to hold exactly.

    Authors: We agree that the zero expected profit condition for market makers is key to the result. The revised manuscript will explicitly present the accounting identity used: total informed-trader profits equal the covariance between price changes and order flow, as this covariance measures the losses incurred by noise traders under competitive market making. We will include a detailed derivation in an appendix that confirms the equality holds exactly under the mild assumptions stated in the paper, without requiring additional restrictions on information timing or order flow composition. This will clarify the foundations of the central claim. revision: yes

  2. Referee: The empirical implementation requires explicit documentation of the data filters, the precise definition of order flow, the sampling frequency, and any adjustments for bid-ask bounce or other microstructure noise. Without these details the reported $3.5 million per-stock figure cannot be replicated or stress-tested against alternative liquidity proxies.

    Authors: We acknowledge the need for more explicit documentation in the empirical section. The revised paper will provide full details on the data filters applied, the precise definition of order flow, the sampling frequency employed, and any adjustments made for bid-ask bounce or microstructure noise. This will enable replication and allow readers to assess robustness to alternative specifications. revision: yes

Circularity Check

0 steps flagged

No significant circularity; derivation uses standard microstructure identities

full rationale

The paper derives that the covariance between price changes and order flow equals the total value of information to informed traders under competitive market making, where noise-trader losses equal informed-trader gains. This equivalence follows from market-clearing and zero-expected-profit conditions for market makers, which are independent accounting identities rather than a fitted parameter or self-referential definition. Estimation on high-frequency equity data is performed after the derivation and does not feed back into it. No load-bearing self-citations, ansatzes, or uniqueness theorems from prior work by the authors are invoked to force the result. The central claim remains self-contained against external benchmarks.

Axiom & Free-Parameter Ledger

0 free parameters · 2 axioms · 0 invented entities

The central claim rests on unspecified mild assumptions plus the premise that competitive market making makes noise-trader losses exactly equal informed-trader gains; no free parameters or invented entities are mentioned in the abstract.

axioms (2)
  • domain assumption Market making is competitive so that noise trader losses equal informed trader gains
    Invoked to equate the covariance directly to the total value of information
  • ad hoc to paper Mild assumptions allow the covariance to measure total value of information
    Stated in the abstract as the basis for the main result

pith-pipeline@v0.9.0 · 5404 in / 1358 out tokens · 52927 ms · 2026-05-13T00:45:26.165969+00:00 · methodology

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.

Lean theorems connected to this paper

Citations machine-checked in the Pith Canon. Every link opens the source theorem in the public Lean library.

Reference graph

Works this paper leans on

300 extracted references · 300 canonical work pages

  1. [1]

    Journal of Economic Theory , volume =

    A Monopolistic Market for Information , author =. Journal of Economic Theory , volume =. doi:10.1016/0022-0531(86)90052-9 , url =

    work page doi:10.1016/0022-0531(86)90052-9

  2. [2]

    , year = 1985, journal =

    Admati, Anat R. , year = 1985, journal =. A. doi:10.2307/1911659 , url =. 1911659 , eprinttype =

    work page doi:10.2307/1911659 1985

  3. [3]

    and Pfleiderer, Paul , year = 1988, journal =

    Admati, Anat R. and Pfleiderer, Paul , year = 1988, journal =. Selling and. 1818105 , eprinttype =

    work page 1988

  4. [4]

    and Pfleiderer, Paul , year = 1991, journal =

    Admati, Anat R. and Pfleiderer, Paul , year = 1991, journal =. Sunshine

    work page 1991

  5. [5]

    and Pfleiderer, Paul , year = 1988, journal =

    Admati, Anat R. and Pfleiderer, Paul , year = 1988, journal =. A Theory of Intraday Patterns:

    work page 1988

  6. [6]

    , year = 2020, month = oct, journal =

    Ahern, Kenneth R. , year = 2020, month = oct, journal =. Do. doi:10.1093/rapstu/raaa004 , url =

    work page doi:10.1093/rapstu/raaa004 2020

  7. [7]

    American Economic Review , abstract =

    Identifying Preference for Early Resolution from Asset Prices , author =. American Economic Review , abstract =

    work page

  8. [8]

    Information

    Ai, Hengjie , year = 2010, journal =. Information. 40864913 , eprinttype =

    work page 2010

  9. [9]

    Ai, Hengjie and Kiku, Dana and Li, Rui , year = 2023, month = apr, journal =. A. doi:10.1093/rfs/hhac059 , url =

    work page doi:10.1093/rfs/hhac059 2023

  10. [10]

    Review of Financial Studies , volume =

    How. Review of Financial Studies , volume =. doi:10.1093/rfs/hhi016 , url =

    work page doi:10.1093/rfs/hhi016

  11. [11]

    Journal of Finance , volume =

    Nonparametric. Journal of Finance , volume =. doi:10.1111/0022-1082.215228 , url =

    work page doi:10.1111/0022-1082.215228

  12. [12]

    Journal of Econometrics , volume =

    Nonparametric Risk Management and Implied Risk Aversion , author =. Journal of Econometrics , volume =. doi:http://dx.doi.org/10.1016/S0304-4076(99)00016-0 , url =

    work page doi:10.1016/s0304-4076(99)00016-0

  13. [13]

    Price Revelation from Insider Trading:

    Akey, Pat and Gr. Price Revelation from Insider Trading:. Journal of Financial Economics , volume =. doi:10.1016/j.jfineco.2021.12.006 , url =

    work page doi:10.1016/j.jfineco.2021.12.006 2021

  14. [14]

    Econometrica , volume =

    Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth , author =. Econometrica , volume =

    work page

  15. [15]

    Illiquidity and Stock Returns: Cross-Section and Time-Series Effects , shorttitle =

    Amihud, Yakov , year = 2002, journal =. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects , shorttitle =. doi:10.1016/S1386-4181(01)00024-6 , url =

    work page doi:10.1016/s1386-4181(01)00024-6 2002

  16. [16]

    Illiquidity and

    Amihud, Yakov and Noh, Joonki , year =. Illiquidity and. Review of Financial Studies , doi =

    work page

  17. [17]

    Andersen, Torben G. and Ter. Realized. Handbook of. doi:10.1007/978-3-540-71297-8_24 , url =

    work page doi:10.1007/978-3-540-71297-8_24

  18. [18]

    Information Percolation Driving Volatility , author =

    work page

  19. [19]

    Financial

    Andries, Marianne and Bonelli, Maxime and Sraer, David , year = 2025, month = oct, journal =. Financial. doi:10.1093/rfs/hhaf090 , url =

    work page doi:10.1093/rfs/hhaf090 2025

  20. [20]

    Giraffes,

    Arbel, Avner and Carvell, Steven and Strebel, Paul , year = 1983, journal =. Giraffes,. doi:10.2469/faj.v39.n3.57 , url =

    work page doi:10.2469/faj.v39.n3.57 1983

  21. [21]

    American Economic Review , pages =

    Insider Trading in a Rational Expectations Economy , author =. American Economic Review , pages =

    work page

  22. [22]

    Journal of Financial Economics , volume =

    Information Tradeoffs in Dynamic Financial Markets , author =. Journal of Financial Economics , volume =

    work page

  23. [23]

    Activism,

    Back, Kerry and Collin-Dufresne, Pierre and Fos, Vyacheslav and Li, Tao and Ljungqvist, Alexander , year = 2018, journal =. Activism,. doi:10.3982/ECTA14917 , url =

    work page doi:10.3982/ecta14917 2018

  24. [24]

    Back, Kerry , year = 2017, edition =. Asset

    work page 2017

  25. [25]

    Identifying

    Back, Kerry and Crotty, Kevin and Li, Tao , year = 2018, month = jun, journal =. Identifying. doi:10.1093/rfs/hhx133 , url =

    work page doi:10.1093/rfs/hhx133 2018

  26. [26]

    Henry and Willard, Gregory A

    Back, Kerry and Cao, C. Henry and Willard, Gregory A. , year = 2000, month = oct, journal =. Imperfect. doi:10.1111/0022-1082.00282 , url =

    work page doi:10.1111/0022-1082.00282 2000

  27. [27]

    Information in

    Back, Kerry and Baruch, Shmuel , year = 2004, month = mar, journal =. Information in. doi:10.1111/j.1468-0262.2004.00497.x , url =

    work page doi:10.1111/j.1468-0262.2004.00497.x 2004

  28. [28]

    Back, Kerry , year = 1992, journal =. Insider. doi:10.1093/rfs/5.3.387 , url =

    work page doi:10.1093/rfs/5.3.387 1992

  29. [29]

    Journal of Financial Markets , volume =

    Long-Lived Information and Intraday Patterns , author =. Journal of Financial Markets , volume =. doi:10.1016/S1386-4181(97)00003-7 , url =

    work page doi:10.1016/s1386-4181(97)00003-7

  30. [30]

    Exotic Preferences for Macroeconomists , booktitle =

    Backus, David K and Routledge, Bryan R and Zin, Stanley E , year = 2005, pages =. Exotic Preferences for Macroeconomists , booktitle =

    work page 2005

  31. [31]

    and Gregory, Allan W

    Backus, David K. and Gregory, Allan W. and Zin, Stanley E. , year = 1989, journal =. Risk

    work page 1989

  32. [32]

    Sources of

    Backus, David and Chernov, Mikhail and Zin, Stanley , year = 2014, journal =. Sources of. doi:10.1111/jofi.12090 , url =

    work page doi:10.1111/jofi.12090 2014

  33. [33]

    Journal of Financial Economics , volume =

    Have Financial Markets Become More Informative? , author =. Journal of Financial Economics , volume =. doi:10.1016/j.jfineco.2016.08.005 , url =

    work page doi:10.1016/j.jfineco.2016.08.005 2016

  34. [34]

    Bai, Jennie and Li, Jian and Manela, Asaf , year = 2023, month = jan, number =. The. doi:10.2139/ssrn.4343095 , url =. Social Science Research Network , langid =:4343095 , publisher =

    work page doi:10.2139/ssrn.4343095 2023

  35. [35]

    Bakshi, Gurdip and Kapadia, Nikunj and Madan, Dilip , year = 2003, journal =. Stock

    work page 2003

  36. [36]

    Journal of Financial Economics , volume =

    Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors , author =. Journal of Financial Economics , volume =

    work page

  37. [37]

    Games and Economic Behavior , volume =

    Word-of-Mouth Learning , author =. Games and Economic Behavior , volume =

    work page

  38. [38]

    Risks for the

    Bansal, Ravi and Yaron, Amir , year = 2004, journal =. Risks for the. doi:10.1111/j.1540-6261.2004.00670.x , url =

    work page doi:10.1111/j.1540-6261.2004.00670.x 2004

  39. [39]

    All That

    Barber, Brad and Odean, Terrance , year = 2008, journal =. All That

    work page 2008

  40. [40]

    and Huang, Xing and Odean, Terrance and Schwarz, Christopher , year = 2022, journal =

    Barber, Brad M. and Huang, Xing and Odean, Terrance and Schwarz, Christopher , year = 2022, journal =. Attention-. doi:10.1111/jofi.13183 , url =

    work page doi:10.1111/jofi.13183 2022

  41. [41]

    and Lee, Yi-Tsung and Liu, Yu-Jane and Odean, Terrance , year = 2009, month = feb, journal =

    Barber, Brad M. and Lee, Yi-Tsung and Liu, Yu-Jane and Odean, Terrance , year = 2009, month = feb, journal =. Just. doi:10.1093/rfs/hhn046 , url =

    work page doi:10.1093/rfs/hhn046 2009

  42. [42]

    and Lin, Shengle and Odean, Terrance , year = 2024, month = sep, journal =

    Barber, Brad M. and Lin, Shengle and Odean, Terrance , year = 2024, month = sep, journal =. Resolving a. doi:10.1017/S0022109023000601 , url =

    work page doi:10.1017/s0022109023000601 2024

  43. [43]

    Information

    Barlevy, Gadi and Veronesi, Pietro , year = 2000, journal =. Information. doi:10.1111/1467-937X.00122 , url =

    work page doi:10.1111/1467-937x.00122 2000

  44. [44]

    Quarterly Journal of Economics , volume =

    Rare Disasters and Asset Markets in the Twentieth Century , author =. Quarterly Journal of Economics , volume =

    work page

  45. [45]

    Journal of Financial Markets , volume =

    Insider Trading and Risk Aversion , author =. Journal of Financial Markets , volume =. doi:10.1016/S1386-4181(01)00031-3 , url =

    work page doi:10.1016/s1386-4181(01)00031-3

  46. [46]

    The Journal of Finance , volume =

    Do. The Journal of Finance , volume =

    work page

  47. [47]

    The Review of Financial Studies , volume =

    It. The Review of Financial Studies , volume =. doi:10.1093/rfs/hhx031 , url =

    work page doi:10.1093/rfs/hhx031

  48. [48]

    Demand for

    Benamar, Hedi and Foucault, Thierry and Vega, Clara , editor =. Demand for. Review of Financial Studies , volume =. doi:10.1093/rfs/hhaa072 , url =

    work page doi:10.1093/rfs/hhaa072

  49. [49]

    Benoit, David , year = 2021, month = jun, journal =. Wall

    work page 2021

  50. [50]

    Journal of Financial Economics , volume =

    Measuring Skill in the Mutual Fund Industry , author =. Journal of Financial Economics , volume =. doi:10.1016/j.jfineco.2015.05.002 , url =

    work page doi:10.1016/j.jfineco.2015.05.002 2015

  51. [51]

    Journal of Financial Markets , volume =

    Asset Market Equilibrium with General Tastes, Returns, and Informational Asymmetries , author =. Journal of Financial Markets , volume =

    work page

  52. [52]

    Can Information Be Locked up?

    Bernile, Gennaro and Hu, Jianfeng and Tang, Yuehua , year = 2016, journal =. Can Information Be Locked up?. doi:http://dx.doi.org/10.1016/j.jfineco.2015.09.012 , url =

    work page doi:10.1016/j.jfineco.2015.09.012 2016

  53. [53]

    Bhutani, Ankit and Ordonez, Guillermo and Veldkamp, Laura , abstract =. The

    work page

  54. [54]

    Journal of Financial Economics , volume =

    Equilibrium Fast Trading , author =. Journal of Financial Economics , volume =. doi:10.1016/j.jfineco.2015.03.004 , url =

    work page doi:10.1016/j.jfineco.2015.03.004 2015

  55. [55]

    Birkhoff, Garrett and Lane, Saunders Mac , year = 1997, publisher =. A

    work page 1997

  56. [56]

    The Journal of Finance , volume =

    Noise , author =. The Journal of Finance , volume =. doi:10.1111/j.1540-6261.1986.tb04513.x , url =

    work page doi:10.1111/j.1540-6261.1986.tb04513.x 1986

  57. [57]

    and Panigirtzoglou, Nikolaos , year = 2004, journal =

    Bliss, Robert R. and Panigirtzoglou, Nikolaos , year = 2004, journal =. Option-. 3694900 , eprinttype =

    work page 2004

  58. [58]

    Bogousslavsky, Vincent , year = 2019, number =. The. doi:10.2139/ssrn.2869624 , url =

    work page doi:10.2139/ssrn.2869624 2019

  59. [59]

    Informed

    Bogousslavsky, Vincent and Fos, Vyacheslav and Muravyev, Dmitriy , year = 2024, journal =. Informed. doi:10.1111/jofi.13320 , url =

    work page doi:10.1111/jofi.13320 2024

  60. [60]

    Infrequent

    Bogousslavsky, Vincent , year = 2016, journal =. Infrequent. doi:10.1111/jofi.12436 , url =

    work page doi:10.1111/jofi.12436 2016

  61. [61]

    Liquidity,

    Bogousslavsky, Vincent and Collin-Dufresne, Pierre , year = 2023, month = aug, journal =. Liquidity,. doi:10.1111/jofi.13248 , url =

    work page doi:10.1111/jofi.13248 2023

  62. [62]

    Bogousslavsky, Vincent and Muravyev, Dmitriy , year = 2020, month = may, number =. Should. doi:10.2139/ssrn.3485840 , url =

    work page doi:10.2139/ssrn.3485840 2020

  63. [63]

    Bond, Philip and Edmans, Alex and Goldstein, Itay , year = 2012, month = oct, journal =. The. doi:10.1146/annurev-financial-110311-101826 , url =

    work page doi:10.1146/annurev-financial-110311-101826 2012

  64. [64]

    Misspecified

    Borovi. Misspecified. Journal of Finance , volume =. doi:10.1111/jofi.12404 , url =

    work page doi:10.1111/jofi.12404

  65. [65]

    Necessary and

    Borovi. Necessary and

    work page

  66. [66]

    Survival and

    Borovi. Survival and

    work page

  67. [67]

    Mathematical

    Brauer, Fred and den Driessche, Pauline Van and Wu, Jianhong , year = 2008, publisher =. Mathematical

    work page 2008

  68. [68]

    Journal of business , pages =

    Prices of State-Contingent Claims Implicit in Option Prices , author =. Journal of business , pages =

    work page

  69. [69]

    Review of Economic Studies , pages =

    On. Review of Economic Studies , pages =

    work page

  70. [70]

    and Sovich, David , year = 2019, journal =

    Brogaard, Jonathan and Ringgenberg, Matthew C. and Sovich, David , year = 2019, journal =. The. doi:10.1093/rfs/hhy129 , url =

    work page doi:10.1093/rfs/hhy129 2019

  71. [71]

    Comparisons of

    Brooks, Benjamin and Frankel, Alexander and Kamenica, Emir , year = 2024, month = sep, journal =. Comparisons of. doi:10.1257/aer.20230430 , url =

    work page doi:10.1257/aer.20230430 2024

  72. [72]

    and Warner, Jerold B

    Brown, Stephen J. and Warner, Jerold B. , year = 1985, journal =. Using

    work page 1985

  73. [73]

    and Markus, K

    Brunnermeier, Markus K. and Markus, K. and Brunnermeier, Markus Konrad , year = 2001, publisher =. Asset Pricing under Asymmetric Information:

    work page 2001

  74. [74]

    , year = 2005, journal =

    Brunnermeier, Markus K. , year = 2005, journal =. Information. doi:10.1093/rfs/hhi015 , url =

    work page doi:10.1093/rfs/hhi015 2005

  75. [75]

    and Core, John E

    Bushee, Brian J. and Core, John E. and Guay, Wayne R. and Hamm, Sophia Jihae W. , year = 2007, journal =. The

    work page 2007

  76. [76]

    Imperfect

    Caball. Imperfect. Econometrica , volume =. doi:10.2307/2951665 , url =. 2951665 , eprinttype =

    work page doi:10.2307/2951665

  77. [77]

    Entropy and the

    Cabrales, Antonio and Gossner, Olivier and Serrano, Roberto , year = 2013, journal =. Entropy and the

    work page 2013

  78. [78]

    and Cochrane, John H

    Campbell, John Y. and Cochrane, John H. , year = 1999, month = apr, journal =. By. doi:10.1086/250059 , url =

    work page doi:10.1086/250059 1999

  79. [79]

    , year = 2017, publisher =

    Campbell, John Y. , year = 2017, publisher =. Financial Decisions and Markets: A Course in Asset Pricing , shorttitle =

    work page 2017

  80. [80]

    and Grossman, Sanford J

    Campbell, John Y. and Grossman, Sanford J. and Wang, Jiang , year = 1993, journal =. Trading

    work page 1993

Showing first 80 references.