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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

Noise and prices

Walters, A. A. - 1975

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The persistent effects of a false news shock

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Lack of timeliness, noise and transitory components in earnings as explanations for the apparent decline in the value relevance of earnings

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Can noise create the size and value effects?

Arnott, Robert D.; Hsu, Jason C.; Liu, Jun; Markowitz, Harry - In: Management science : journal of the Institute for … 61 (2015) 11, pp. 2569-2579

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The implications of low R2 : evidence from China

Hu, Conghui; Liu, Shasha - In: Emerging markets finance & trade : a journal of the … 49 (2013) 1, pp. 17-32

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Twitter as "bully pulpit" : Brazilian banking sector case

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Sensitivity analysis of market and stock returns by considering positive and negative jumps

Theodosiadou, Qurania; Polimenis, Vassilis; Tsaklidis, … - In: Journal of risk finance : the convergence of financial … 17 (2016) 4, pp. 456-472

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Do investors post messages differently from mobile devices? : the correlation between mobile Internet messages posting and stock returns

Mei, Lixing; Rao, Yulei; Wang, Mei; Wang, Jianxin - In: International review of economics : journal of civil economy 66 (2019) 4, pp. 423-452

Persistent link: https://www.econbiz.de/10012211859

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