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Price Drift before U.S. Macroeconomic News : Private Information about Public Announcements?

Kurov, Alexander - 2017

information about macroeconomic fundamentals. Pre-announcement drift might originate from a combination of information leakage and …

Persistent link: https://www.econbiz.de/10012971320

Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?

Kurov, Alexander - 2016

on average for about half of the total price adjustment. These results imply that some traders have private information … information leakage and superior forecasting based on proprietary data collection and reprocessing of public information …

Persistent link: https://www.econbiz.de/10012992424

Price drift before U.S. macroeconomic news : private information about public announcements?

Kurov, Alexander; Sancetta, Alessio; Strasser, Georg; … - 2015 - This draft: July 29, 2015

Persistent link: https://www.econbiz.de/10011508311

Price drift before U.S. macroeconomic news : private information about public announcements?

Kurov, Alexander; Sancetta, Alessio; Strasser, Georg; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 1, pp. 449-479

Persistent link: https://www.econbiz.de/10012128928

Price drift before U.S. macroeconomic news : private information about public announcements?

Kurov, Alexander; Sancetta, Alessio; Strasser, Georg; … - 2016

Persistent link: https://www.econbiz.de/10011618283

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2013

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10013077120