jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …

takers. During bursts, market makers no longer passively impound information from order flow into quotes-a departure from the …

-frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via …

We propose a nonparametric method to study which characteristics provide incremental information for the cross section … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an …

We propose a nonparametric method to test which characteristics provide independent information for the cross section … is insensitive to outliers. Many of the previously identified return predictors do not provide incremental information …

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing … only if traders over- (under-) rely on public information with respect to optimal statistical weights. Both phenomena, in … uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesianʺ region …