This paper introduces a new information density indicator to provide a more comprehensive understanding of price … reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which …

information acquisition to price informativeness. The profit-seeking characteristics of free-access market environments hinder the … dilemma, thus effectively improving the information precision and price informativeness of the capital market. We provide …We propose a costly information acquisition model to explore the mechanism of the process from the strategies of …

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo … subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated …