Sidelined Investors, Trading-Generated News, and Security Returns
研究固定交易成本下信息阻塞与信息不对称释放，发现被边缘化的投资者会延迟交易，导致价格涨跌后收益偏度反转、大价格变动与外部信息脱节、以及波动率上升。
This article studies information blockages and the asymmetric release of information in a security market with fixed setup costs of trading. In this setting, "sidelined" investors may delay trading until price movements validate their private signals. Trading thereby internally generates the arrival of further news to the market. This leads to (1) negative skewness following price run-ups and positive skewness following price rundowns (even though the model is ex ante symmetric), (2) a lack of correspondence between large price changes and the arrival of external information, and (3) increases in volatility following large price changes.