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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Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Economic Perspectives

Publication Date: 2006

Volume: 30

Issue: Q I

Pages: 39-54