price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption … detail information besides the widely used headline figures, we extract release-specific precision measures which allow to … test for the claim of Bayesian updating. We find that the price impact of more precise information is significantly …

This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

This paper models the interactions among technological innovation, product market competition and information leakage … technology either early on as a leader or later once stock prices reveal the value of the technology. Information leakage thus … market competition increases the option value of waiting but has an ambiguous effect on information production. It may thus …