Securities Markets in Which Some Investors Receive Information About Cash Flow Betas

The authors are grateful to two anonymous referees, an associate editor, and Lukas Schmid (the editor) for insightful and constructive comments. The authors also thank Daniel Andrei, Philip Bond, Bill Christie, Eduardo Dávila, Pingyang Gao, Craig Holden, Petko Kalev, Alessio Piccolo, Veronika Pool, Alessandro Previtero, Elvira Sojli, Bob Whaley, Joshua White, Bart Zhou Yueshen, and Zhuo Zhong as well as participants in seminars at the University of Hong Kong, Indiana University, Vanderbilt University, Microstructure Online Seminars Asia Pacific, the 2021 Midwestern Finance Association meetings, and the Fifth Sustainable Architecture for Finance in Europe (SAFE) Market Microstructure Conference for valuable comments. They also thank Hong Xiang for his great research assistant work.