New evidence on market response to public announcements in the presence of microstructure noise

Siyu Bian, Teresa Serra, Philip Garcia, Scott Irwin

Year of publication:	2022
Authors:	Bian, Siyu ; Serra, Teresa ; García, Philip ; Irwin, Scott H.
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 2 (16.4.), p. 785-800
Subject:	Microstructure noise \| Risk analysis \| Stochastic process \| Uncertainty modeling \| Marktmikrostruktur \| Market microstructure \| Theorie \| Theory \| Ankündigungseffekt \| Announcement effect \| Noise Trading \| Noise trading \| Risiko \| Risk \| Stochastischer Prozess \| Börsenkurs \| Share price \| Volatilität \| Volatility

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