News Trading and Speed
比较了知情投机者在新闻发布前能否抢先交易（快速）与不能（慢速）时的最优交易策略，发现速度影响交易量占比和短期价格相关性，但利润主要来自长期价格变动，且行为与高频交易者证据一致。
ABSTRACT We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is “fast”), versus when he cannot (is “slow”). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short‐run price changes. Nevertheless, he realizes a large fraction of his profits from trading on long‐term price changes. The fast speculator's behavior matches evidence about high‐frequency traders. We predict that stocks with more informative news are more liquid even though they attract more activity from informed high‐frequency traders.