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Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis
Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133
Persistent link: https://www.econbiz.de/10012016139
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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...
Persistent link: https://www.econbiz.de/10013334839
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The cross section of information transmission in news media and stock returns
Wu, Yi; Wang, Xinyao - In: Finance research letters 67 (2024) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10015062245
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Estimation risk, information, and the conditional CAPM : theory and evidence
Kumar, Praveen; Sorescu, Sorin M.; Boehme, Rodney D.; … - In: The review of financial studies 21 (2008) 3, pp. 1037-1075
Persistent link: https://www.econbiz.de/10003742220
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Essays on information and investment
Reuter, Jonathan Michael - 2002
Persistent link: https://www.econbiz.de/10001742597
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Information theoretic ranking of extreme value returns
Kayal, Parthajit; Dutta, Sumanjay; Khandelwal, Vipul; … - In: Journal of quantitative economics 19 (2021) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012489842
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Information theoretic ranking of extreme value returns
Kayal, Parthajit; Dutta, Sumanjay; Khandelwal, Vipul; … - 2020
Persistent link: https://www.econbiz.de/10013470996
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Order placement strategy of informed investors : limit orders and market impact
Angel, James Joseph - 1991
Persistent link: https://www.econbiz.de/10000869050
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The impact of news releases on trade durations in stocks : empirical evidence from Sweden
Simonsen, Ola (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358991
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Stock data, trade durations, and limit order book information
Simonsen, Ola (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358994