@techreport{Hess2007early,
abstract = {There is strong evidence that macroeconomic releases influence prices in financial markets. However, why do markets react to some announcements while they ignore others with a similar content? Based on a Bayesian learning model, we show that market impact is mainly determined by information quality and timeliness of a release. To test the model's implications, we analyze the successive introduction of the two largest German business surveys: the well-known IFO index and the recently introduced ZEW economic indicator. In line with the model's prediction, we find a diminishing market impact of the IFO index after the ZEW indicator was introduced.},
address = {Cologne},
author = {Dieter Hess and Alexandra Niessen},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E44; G14; 330; Bayesian Learning; Macroeconomic Announcements; Information Processing},
language = {eng},
number = {07-03},
publisher = {Centre for Financial Research},
title = {The early news catches the attention: On the relative price impact of similar economic indicators},
type = {CFR Working Paper},
url = {http://hdl.handle.net/10419/57713},
year = {2007}
}
