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 …

Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …

What moves stock prices? Prior literature concludes that the revelation of private information through trading, and not … public news, is the primary driver. We revisit the question by using textual analysis to identify fundamental information in … news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …

high information asymmetry. This rebalancing causes a substitution in ownership away from the investors who induce …

information in the form of environmental, social and governance (ESG) data. However, progress is contingent on collecting evidence …-identified sustainability information have higher stock price informativeness. In contrast, sustainability disclosures not identified as …-industry information transfers to firms with low SASB-identified sustainability disclosure in industries where firms have higher SASB …

This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on … information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS … sensitive total information flow from the stock market to the CDS market. Companies with lower transaction costs in the CDS …

private information. This suggests that economists' inability to explain asset price movements is the result of either noise …

jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …