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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 …
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Yes. By observing return reversals following unexpected responses to noisy public signals about market-wide common factors, we show that investors in the US equity market tend to over-respond to public signals for mature firms that are relatively easy to price—old, large, and dividend-paying...
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Government agencies routinely allow pre-release access to information to accredited news agencies under embargo … subsequent policy surprises and contain information that predicts the market reaction to the policy announcements. The estimated …
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