Something in the air: information density, news surprises, and price jumps
Year of publication: |
2015
|
---|---|
Authors: | Füss, Roland ; Grabellus, Markus ; Mager, Ferdinand ; Stein, Michael |
Publisher: |
St. Gallen : School of Finance, Univ. of St. Gallen |
Subject: | Information density | jump identification | macroeconomic announcements | noisy information | price discovery process | Börsenkurs | Share price | Ankündigungseffekt | Announcement effect | Theorie | Theory | Volatilität | Volatility | Informationsverbreitung | Information dissemination | Informationsökonomik | Economics of information | Statistische Verteilung | Statistical distribution | Information | Informationswert | Information value | Informationsverhalten | Information behaviour |
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