ABSTRACT
In the terminology of the corporate fi nance and market microstructure literatures, the event we study had both public and private information components.2 French and Roll (1986, p. 9) note that the dichotomy between public and private information is somewhat artifi cial and that “most information falls in the continuum between [the two].” More recent theory by Dow and Gorton (1993) argues that this continuum is not linear. They model price discovery in an environment where information is multidimensional and where the resulting price dynamics are complex. The Challenger crash offers an excellent case study of the multifaceted information structures envisioned by these researchers.
