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 …

market participants perfectly know the quality of released news. However, in practice, news' precision is rarely disclosed …. Therefore, we extend standard Bayesian learning allowing traders to infer news' precision from two different sources. If … confirm the model's predictions and reveal statistically and economically significant effects of news' precision. -- Bayesian …

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 …

return process by including appropriate variables accounting for the news flow into both the mean and the variance function …. This allows us to differentiate between the consistent price reaction to surprising news and the traders uncertainty about … almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and bad news in particular …

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 …

the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely … dis- closed. Therefore, we extend standard Bayesian learning, suggesting traders infer news' precision from magnitudes of …