[I investigate the empirical importance of information revelation in the pricing of block trades. In particular, I examine whether block prices are correlated with the unexpected part of firms' quarterly earnings. For my sample of block trades, information revelation does indeed appear to be a significant factor shortly before earnings announcements.]

The author investigate the empirical importance of information revelation in the pricing of block trades. In particular, he examine whether block prices are correlated with the unexpected part of firms' quarterly earnings. For his sample of block trades, information revelation does indeed appear to be a significant factor shortly before earnings announcements. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

This paper investigates the susceptibility of futures markets to price manipulation in a two-period model with asymmetric information and "cash settlement" futures contracts. Without "physical delivery," strategies based on "corners" or "squeezes" are infeasible. However, uninformed investors still earn positive expected profits by establishing a futures position and then trading in the spot market to manipulate the spot price used to compute the cash settlement at delivery. The authors also show that as the number of manipulators grows, profits from manipulation fall to zero. However, even in the limit, manipulation still has a nontrivial impact on market liquidity. More broadly, they interpret manipulation as a form of endogenous "noise trading" which can arise in multiperiod security markets.

This paper investigates the susceptibility of futures markets to price manipulation in a two‐period model with asymmetric information and “cash settlement” futures contracts. Without “physical delivery,” strategies based on “corners” or “squeezes” are infeasible. However, uninformed investors still earn positive expected profits by establishing a futures position and then trading in the spot market to manipulate the spot price used to compute the cash settlement at delivery. We also show that as the number of manipulators grows, profits from manipulation fall to zero. However, even in the limit, manipulation still has a nontrivial impact on market liquidity. More broadly, we interpret manipulation as a form of endogenous “noise trading” which can arise in multiperiod security markets.