Market Dynamics Around Public Information Arrivals
AbstractI analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost components around public information releases. I find that there is a disclosure impact on both trading and order flow. I also find that trading around news releases is characterized by relatively small adverse selection and order processing costs, and high order persistence.
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Bibliographic InfoPaper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp45.
Date of creation: Feb 2002
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Firm-Specific News; Public Information Arrivals; Market Microstructure; Transaction Cost; Price Formation Model; High Frequency Data; Paris Bourse;
Find related papers by JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Gomber, Peter & Schweickert, Uwe & Theissen, Erik, 2011. "Liquidity dynamics in an electronic open limit order book: An event study approach," CFR Working Papers 11-14, University of Cologne, Centre for Financial Research (CFR).
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