This paper uses high frequency data to evaluate whether information asymmetry in the market is reduced subsequent to corporate earnings and dividend announcements. Changes in the level of information asymmetry due to the announcements are proxied by the rate of change in trading volume, bid-ask...

We discuss inference on the Lévy measure in case of noisy observations. An extension of the pre-averaging method allows for a consistent estimation of the associated spectral function. The asymptotic behaviour of the novel estimator is the same as without noise.

Purpose – The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach – The DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P...