Hautsch, Nikolaus; Hess, Dieter; Müller, Christoph - 2008
the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely … price responses. Empirical tests based on intra-day T-bond futures price reactions to employment releases confirm the model …@ifk-cfs.de
No. 2008/28
Price Adjustment to News with
Uncertain Precision
Nikolas Hautsch, Dieter Hess,
and Christoph Müller …