Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

According to the news model of asset price determination, only the unexpected component of an information should drive … price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome. …

inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to …

factors determining the relative importance of releases, the time series properties and the information content of the … macroeconomic news flow are investigated. In particular, several types of information regarding inflation and economic strength are … distinguished. The explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of …