Markus Grabellus

EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate

Gustav-Stresemann-Ring 3

65189 Wiesbaden, Hessen

Germany

  • EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate

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Something in the Air: Information Density, News Surprises, and Price Jumps

University of St. Gallen, School of Finance Research Paper No. 2015/17
Number of pages: 87 Posted: 04 Sep 2015 Last Revised: 27 Sep 2016
Roland Füss, Markus Grabellus, Ferdinand Mager and Michael Stein
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and University of Duisburg-Essen
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Information density, jump identification, macroeconomic announcements, noisy information, price discovery process