There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related … question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between … stocks. If the answer is affirmative, and the lengths of the lead lag time have long fallen below the human reaction time …

of the month effect, it records significantly higher returns during a relatively short time period around the end of the …

. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long …

yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from …

We study conference calls as a voluntary disclosure channel and create a proxy for the time horizon that senior … executives emphasize in their communications. We find that our measure of disclosure time horizon is associated with capital …. Overall, the results show that the time horizon of conference call narratives can be informative about managers' myopic …

back timing success to the statistical characteristics of the underlying asset price time series, which is modeled by …

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …