Dominguez, Kathryn M. (contributor); … - 2005
assumption is that the sorts of
information that matter, macro fundamentals, are common knowledge and are
incorporated into … order flow information
available from Reuters D2000-2. We use these two sources of “common knowledge”
news, as well as the … that price might not immediately (or fully) react is if the “news”
either is not common knowledge, or if different market …