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algorithmic trading, volatility, liquidity provision, private information
Textual analysis; textual content; cheap talk; earnings quality; earnings announcement; information uncertainty; stock price volatility; media coverage; voluntary disclosure; communication credibility
Learning, earnings announcements, market microstructure, high-frequency data, private information and public information
Learning, PIN, earnings announcements, market microstructure, high-frequency data, private information and public information
Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting
Liquidity, private information-based trading, public news announcements
Private information, public news announcements, information spillovers, international equity returns, contagion
F3, G12, G14, G15
Treasury Bond Markets, Strategic Trading, Market Microstructure, Liquidity, Order Flow, On-The-Run Bonds, Off-The-Run Bonds, Macroeconomic News Announcements, Expectations, Dispersion of Beliefs
Macroeconomic news announcements, strategic trading, market microstructure, order flow, real-time data, expectations, dispersion of beliefs
macroeconomic announcements, price discovery, learning, macroeconomic
Macroeconomic announcements, central bank policy, coordination role of public information, learning, macroeconomic forecasting, price discovery
Macroeconomic announcements, Price discovery, Learning, Forecasting, Now-casting
Macroeconomic announcements, price discovery, learning, forecasting, nowcasting
Counterparty Credit Risk, Credit Default Swaps, Central Clearing
Counterparty credit risk, Credit default swaps, Central clearing
Equity Market, Market Liquidity, Strategic Trading, Information Heterogeneity, Public News
Private information, international equity returns, monetary policy, foreign exchange rates, exchange traded funds
Private Information, International Equity Returns, Monetary Policy, Foreign Exchange Rates, Exchange Traded Funds
Oil price, gasoline price, news, identification, impulse responses
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7015.
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Gasoline price, Identification, Impulse responses, News, Oil price
Treasury Bond Markets, Macroeconomic News Announcements, Strategic Trading, Market Microstructure, Order Flow, Real-Time Data, Expectations, Dispersion of Beliefs
sales, retail stores, consumer spending
monetary policy announcements, high-frequency data, credit channel
Monetary policy announcements, high frequency data, credit channel
Treasury Bond Markets, Open Market Operations, Central Bank, Government Interventions, Strategic Trading, Market Microstructure, Liquidity
File name: SSRN-id913014.
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