Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of Banking & Finance 37 (2013) 4, pp. 1148-1159
messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an … objective ex ante measure of the tone of a message to study the impacts of positive, negative, and neutral messages on price … discovery and trading activity. As expected, we find higher adverse selection costs around the arrival of newswire messages …