Market Dynamics Around Public Information Arrivals

Angelo Ranaldo

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost components around public information releases. I find that there is a disclosure impact on both trading and order flow. I also find that trading around news releases is characterized by relatively small adverse selection and order processing costs, and high order persistence.

Keywords: Firm-Specific News; Public Information Arrivals; Market Microstructure; Transaction Cost; Price Formation Model; High Frequency Data; Paris Bourse (search for similar items in EconPapers)
JEL-codes: C35 G13 G14 G15 (search for similar items in EconPapers)
Date: 2002-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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