501. Market Dynamics Around Public Information Arrivals
- Author
-
Angelo Ranaldo
- Subjects
Earnings ,Financial economics ,Liquidity crisis ,jel:C35 ,Market microstructure ,Liquidity risk ,Price discovery ,jel:G13 ,Market liquidity ,Information asymmetry ,jel:G14 ,jel:G15 ,Economics ,Firm-Specific News ,Public Information Arrivals ,Market Microstructure ,Transaction Cost ,Price Formation Model ,High Frequency Data ,Paris Bourse ,Market impact - Abstract
I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that traders actively monitor and promptly react to the real-time information flow. The news impact depends on which type of news bulletin is released. Only earnings announcements and news items causing extreme price disruptions enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets that are able to provide additional liquidity during information events.
- Published
- 2002