Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of Banking & Finance 35 (2011) 10, pp. 2733-2746
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...