Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - HEC Paris (École des Hautes Études Commerciales) - 2013
to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast … short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the … fast investor's share of trading volume. Last, price changes are more correlated with news and trades contribute more to …