Journal Article
Earnings announcements, private information, and liquidity
Abstract: In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement
Keywords: Securities; Trade; Liquidity (Economics);
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Authors
Bibliographic Information
Provider: Federal Reserve Bank of Chicago
Part of Series: Economic Perspectives
Publication Date: 2006
Volume: 30
Issue: Q I
Pages: 39-54