Federal Reserve Bank of Chicago
Earnings announcements, private information, and liquidity
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
Cite this item
Craig Furfine, "Earnings announcements, private information, and liquidity"
, Federal Reserve Bank of Chicago, Economic Perspectives, issue Q I, pages 39-54, 2006.
Keywords: Liquidity (Economics) ; Securities ; Trade
This item with handle RePEc:fip:fedhep:y:2006:i:qi:p:39-54:n:v.30no.1
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