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Federal Reserve Bank of Chicago
Economic Perspectives
Earnings announcements, private information, and liquidity
Craig Furfine

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

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Craig Furfine, "Earnings announcements, private information, and liquidity" , Federal Reserve Bank of Chicago, Economic Perspectives, issue Q I, pages 39-54, 2006.
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Keywords: Liquidity (Economics) ; Securities ; Trade
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