How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …

models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with …

financial information leads to a significant improvement in forecasting business cycle developments in four economic areas, at … cross sectional stock market information to macro-prudential aims through an economic Value at Risk. - Business cycle …

fast trading raises entropy, rather than reacting to it. While more entropy in quoted prices means noisier information and …

stress tests provides new information to markets. Banks performing poorly in stress tests experience, on average, a reduction …