We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

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 …

Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing … the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely …

Bayesian learning provides the core concept of information processing in financial markets. Typically, it is assumed …. If information is perceived to be more precise, prices react more strongly. Moreover, interactions of the different …

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 …

We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated … itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy …