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Papers by Magdalena Grothe


Abstract
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this question is still mixed, primarily due to the lack of sufficiently precise data. This paper examines the process of price adjustment to public news in an electronic limit order market, based on very precise information from the largest European bond futures market. The results show that the price response to public news is gradual and accompanied by trading. Good (bad) news releases are followed by a sequence of positive (negative) returns and a large buying (selling) activity in the first seconds after the news release. ....

Financial Structure Division , European Central Bank , Schuman Programme , International Policy Analysis Division , Risk Control Division , Expert Panel Of The National Science Centre , Deutsche Bundesbank , Monetary Policy , International European Relations , Policy Analysis Division , Directorate General International , European Relations , European Central , Financial Stability Expert , European Systemic Risk Board , Expert Panel , National Science Centre , Control Division , Directorate General Monetary Policy , நிதி அமைப்பு பிரிவு , ஐரோப்பிய மைய வங்கி , சர்வதேச பாலிஸீ பகுப்பாய்வு பிரிவு , பண பாலிஸீ , சர்வதேச ஐரோப்பிய உறவுகள் , பாலிஸீ பகுப்பாய்வு பிரிவு , இயக்குநரகம் ஜநரல் சர்வதேச ,