We find that the acquisition of private information is associated with an improvement in market liquidity. An empirical analysis of search activity through EDGAR as a proxy for information acquisition provides evidence for a theoretical gap in market microstructure models. We also find EDGAR...

We examine the effect of consumer sentiment announcements on changes in 13 of the more common foreign exchange rates against the Australian dollar using a consumer sentiment index (CSI). Generally, we find that the CSI possesses information that influences the foreign exchange market. However,...

We document asymmetric announcement effects of consumer sentiment news on United States stock and stock futures markets. While a negative market effect occurs upon the release of bad sentiment news, there is no market reaction for the counterpart good news. This supports the “negativity...