differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment …

This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global …, but firmspecific news keep being priced less, leading to increased comovement of stock returns with the national stock …