The paper by Alford and Berger (AB) examines some of the complexities of the “information environment” of traded firms. The concept of the information environment defies precise definition but nevertheless is believed to play an important role in price formation and market efficiency. The market generally impounds information most quickly and efficiently for large, successful, newsworthy, high-volume, closely followed firms. All these characteristics are associated with the information environment, but which of them cause greater efficiency and which are caused by it is an open question.
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