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Earnings announcements, private information, and liquidity


  • Craig Furfine


In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement

Suggested Citation

  • Craig Furfine, 2006. "Earnings announcements, private information, and liquidity," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 39-54.
  • Handle: RePEc:fip:fedhep:y:2006:i:qi:p:39-54:n:v.30no.1

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    References listed on IDEAS

    1. Enrico Moretti, 2004. "Workers' Education, Spillovers, and Productivity: Evidence from Plant-Level Production Functions," American Economic Review, American Economic Association, vol. 94(3), pages 656-690, June.
    2. Jeremy Greenwood & Guillaume Vandenbroucke, 2005. "Hours Worked (Long-Run Trends)," Economie d'Avant Garde Research Reports 10, Economie d'Avant Garde.
    3. Christopher M. Cornwell & David B. Mustard & Deepa Sridhar, 2005. "The Enrollment Effects of Merit-Based Financial Aid: Evidence from Georgia's HOPE Scholarship," HEW 0501002, EconWPA.
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    Liquidity (Economics) ; Securities ; Trade;


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