Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089675 | Journal of Banking & Finance | 2013 | 12 Pages |
Abstract
⺠We study the impact of newswire messages on market quality. ⺠Negative messages convey more information than positive or neutral messages. ⺠Adverse selection costs around news are especially high around negative messages. ⺠Liquidity decreases around negative messages and increases for other messages. ⺠Market participants have different information processing capabilities.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ryan Riordan, Andreas Storkenmaier, Martin Wagener, S. Sarah Zhang,