Using a new data set consisting of six years of real-time exchange-rate quotations,
macroeconomic expectations, and macroeconomic realizations, we characterize the conditional …

I use Easley and O’Hara's [1992, Journal of Finance 47, 577–604] private information-based
trading variable, PIN, together with a comprehensive public news database to empirically …

We test the implications of a model of multi-asset speculative trading in which liquidity
differentials between on-the-run and off-the-run US Treasury bonds ensue from endowment …

Using a unique high-frequency futures dataset, we characterize the response of US, German
and British stock, bond and foreign exchange markets to real-time US macroeconomic news…

We study the impact of algorithmic trading (AT) in the foreign exchange market using a long
time series of high‐frequency data that identify computer‐generated trading activity. We find …

We propose a formal test of the hypothesis that energy prices are predetermined with
respect to US macroeconomic aggregates. The test is based on regressing changes in daily …

This paper examines whether the" soft" information contained in the text of management's
quarterly earnings press releases is incrementally informative over the company's reported" …

We study the role played by private and public information in the process of price formation
in the US Treasury bond market. To guide our analysis, we develop a parsimonious model of …

This paper analyzes intraday changes in firm‐level equity prices around interest rate
announcements to assess the transmission of US monetary policy to the global economy. We …

The literature documents a heterogeneous asset price response to macroeconomic news
announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an …