Paula Cocoma - Frankfurt School of Finance and Management

Abstract

We revisit the question of whether investors learn from prices by directly conditioning on the arrival of information, including private information. A central challenge in this literature is that information arrivals are typically unobserved, making it difficult to separate learning from prices from reactions to information. We address this challenge using securities lending data to construct a real-time measure that captures informed trading, allowing us to identify the timing of information arrivals at the stock-day level. We find that following information arrivals, price informativeness declines, return volatility increases, and the correlation between trading volume and volatility strengthens. These patterns are inconsistent with noisy rational expectations models and instead support differences-of-opinion models in which investors overweight their own signals and underweight the information in prices. Our results persist outside periods of public news, highlighting the role of private information in financial markets.

Additional information:

• Speaker: Paula Cocoma 
• Time: Wednesday, 24.06.2026, 14:45 - 16:00
• Location: Faculty Lounge, Room 0.036
• Further links:
  • Paula Cocoma's webpage
• Organizer: Finance Group
• Contact:
  • Almut Lunkenheimer
  • +49 228 73-9228
  • ifs@uni-bonn.de