Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …