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 announcementLiquidity (Economics) ; Securities ; Trade

Craig H. Furfine

English

Research Papers in Economics

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Spreads, depths, and the impact of earnings information: An intraday analysis,”

Earnings announcements, private information, and liquidity

http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2006/ep_1qtr2006_part3_furfine.pdf

Earnings announcements, private information, and liquidity

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Research Papers in Economics