Since the implementation of the European Markets in Financial Instruments Directive (MiFID), multilateral trading facilities (MTF) have broken down the quasi-monopoly which has been traditionally held by national exchanges across Europe. To date, incumbent exchanges and various MTFs fiercely...

How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex-ante measure of the tone of a message to study...