Griffin, John M.; Hirschey, Nicholas H.; Kelly, Patrick J. - In: Review of Financial Studies 24, 12, pp. 3941-3992
This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news...
