Intraday Market Dynamics Around Public Information Arrivals
Year of publication: |
2006-05-05
|
---|---|
Authors: | Ranaldo, Angelo |
Institutions: | Schweizerische Nationalbank (SNB) |
Subject: | real-time information | firm-specific news | price iscovery | liquidity provision | transaction-cost components | information asymmetry | limit-order book market | earnings announcements | price disruption | high-frequency data |
Extent: | text/plain |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Working Papers Number 2006-11 50 pages |
Classification: | G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies |
Source: |
-
Intraday Market Dynamics Around Public Information Arrivals
Ranaldo, Angelo, (2006)
-
Who trades with whom? Individuals, institutions, and returns
Stoffman, Noah, (2014)
-
News-driven return reversals: Liquidity provision ahead of earnings announcements
So, Eric C., (2014)
- More ...
-
Ranaldo, Angelo, (2007)
-
The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte, (2010)
-
Forecasting realized (co)variances with a block structure Wishart autoregressive model
Caporin, Massimiliano, (2009)
- More ...