We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real … time, we also find that the price impact of trades is symmetric on average. However, the price of highly liquid stocks with …

imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high …") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components …

imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high …") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components …