Up until recently, one could look under “information” in the index section of any major financial textbook and be genuinely surprised at the paucity of references. Why? Quite often information was taken as a “given,” an exogenous occurrence that undoubtedly affects market behavior but alas remained largely unexplained. More recently, information has been moved closer toward center stage with a plethora of studies now manifesting in the field of “informational asymmetries” and “incomplete markets.”1 Still, even in these studies, “information” itself is mostly treated as an intangible commodity with little or no attempt to understand its underlying attributes or the forces that govern them. It is our objective to put right this somewhat alarming oversight and bring information analysis firmly into the mainstream of finance thinking. However, before doing this let us at first examine what little information there is on “information” within the existing finance literature.
KeywordsAsset Price Private Information Evolutionary Finance Excess Return Asset Return
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