liquidity supply and demand causes price reactions and harms price efficiency. Using a unique dataset of hidden orders in NASDAQ …

We examine intraday market reactions to stock-specific news. Using pre-processed data from an automated news analytics …-specific news. Concise news-implied reactions in returns, volatility as well as liquidity demand and supply are quantified by a high … relevant news for a cross-section of stocks traded at the London Stock Exchange. The results confirm the usefulness of …

estimates of news' precision. It is shown that the efficiency of a precision estimate drives the slope and the shape of price … response functions to news. Increasing estimation errors induce stronger nonlinearities in price responses. Analyzing high …We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated …

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high … are positively influenced by news. The proportion of noise-induced variances is highest before announcements and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an … automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the … direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high … are positively influenced by news. The proportion of noise-induced variances is highest before announcements and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

price response functions to news. Increasing estimation errors induce stronger nonlinearities in price responses. Analyzing …We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated … estimates of news' precision. It is shown that the efficiency of a precision estimate drives the the slope and the shape of …