Market Dynamics Around Public Information Arrivals

I 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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Year of publication:	2002-02
Authors:	Ranaldo, Angelo
Institutions:	Swiss Finance Institute
Subject:	Firm-Specific News \| Public Information Arrivals \| Market Microstructure \| Transaction Cost \| Price Formation Model \| High Frequency Data \| Paris Bourse

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Extent:	application/pdf
Series:	FAME Research Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C35 - Discrete Regression and Qualitative Choice Models ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771828