Quotation Kopp, Emanuel Albin, Hütl, Michael, Loistl, Otto. 2008. The Influence of Real-Time Stock-Specific Messages on Liquidity, Returns, and Trading Behavior.




Most studies focus on the effects of some type of anticipated information release, like earnings or dividend announcements, or on macroeconomic news. In contrast, we study the effect of strictly company-specific news items routed in real-time to the trading screens. It is examined whether the real-time flow of company-specific messages influences trading in highly liquid DAX-30 securities. The news impact is investigated using full-displayed open limit order book data from the Xetra electronic trading system. Our findings support the suggestion that traders monitor the information flow and actively react to this type of information disclosure. We find that liquidity deteriors and that returns fall considerably around the time of news release. Hence, earnings or dividend announcement are not the only source of relevant information. Moreover, traders tend to herd in their decisions to buy or to sell around the time of news release. We further show that time- and stock-specific excess performance in returns and liquidity is considerably driven by common factors across stocks.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title The Influence of Real-Time Stock-Specific Messages on Liquidity, Returns, and Trading Behavior
Year 2008
URL http://www.wu-wien.ac.at/ifm/ma/ek


Kopp, Emanuel Albin (Former researcher)
Hütl, Michael (Former researcher)
Loistl, Otto (Details)
Institute for Investmentbanking and Catallactics IN (Former organization)
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