Public Information Arrival

Authors

  • THOMAS D. BERRY,

  • KEITH M. HOWE

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    • Both authors are from DePaul University. The authors are especially grateful to two anonymous referees and the editor, Rene Stulz, for extensive comments that have helped clarify many of the issues contained in the article. We also thank Charles Corrado, Anand Desai, Kenneth French, Mason Gerety, Adam Gehr, Mark Griffiths, Haim Levy, James Overdahl, and especially Mark Mitchell and Harold Mulherin for helpful comments. We wish to acknowledge the financial support from the Charles H. Kellstadt Graduate School of Business, the DePaul University Research Council, and the Dr. William M. Scholl Research Endowment.


ABSTRACT

We develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. We find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next we relate our measure of public information to aggregate measures of intraday market activity. Our results suggest a positive, moderate relationship between public information and trading volume, but an insignificant relationship with price volatility.

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