Hautsch, Nikolaus; Hess, Dieter - Institut für Finanzmarktforschung, Wirtschafts- und … - 2004
An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...