• 1 Introduction
  • 2 Data
  • 3 Macroeconomic News and Price Discovery
  • 3.1 Trading Volume and News Announcements
  • 3.2 Aggregated Prices and News Announcements
  • 3.3 Relative Speed of Aggregate Price Adjustment
  • 3.4 Macroeconomic News and Disaggregated Prices
  • 4 Price Stickiness
  • 5 Delayed and Asymmetric Price Adjustment and the Costs ofTrading
  • 5.1 Dealer Markups on Round-Trip Trades
  • 5.2 Implicit Half-Spreads and Asymmetric Price Adjustments
  • 5.3 Asymmetric Yield Spread Dynamics
  • 5.4 Variation in Competitive Conditions Across States
  • 6 Conclusion
  • A Derivation of Panel Estimator of Asymmetric and Sluggish Response
  • References