reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …

reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

relation between the volatility of liquidity and expected stock returns, we find that the volatility of the bid-ask spread is … positively related to future returns. The average risk-adjusted return for stocks in the highest spread volatility quintile is … volatility premium is robust to a variety of multivariate tests that control for the market risk factor, SMB, HML, momentum, and …

In this study, we examine the trading activity and volatility of stocks influenced by the US Securities and Exchange … stocks does not appear to be meaningfully affected by the increase in tick sizes. Volatility, however, increases markedly for …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …