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Market Dynamics Around Public Information Arrivals
- Publication Year :
- 2002
-
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.
- 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
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....d1a6c67deedff8a39501cae61472322d