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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/57713
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hess, Dieter | | en_US |
| dc.contributor.author | | Niessen, Alexandra | | en_US |
| dc.date.accessioned | | 2012-04-27 | | en_US |
| dc.date.accessioned | | 2012-05-02T15:44:26Z | | - |
| dc.date.available | | 2012-05-02T15:44:26Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/57713 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR Working Paper 07-03 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Bayesian Learning | | en_US |
| dc.subject.keyword | | Macroeconomic Announcements | | en_US |
| dc.subject.keyword | | Information Processing | | en_US |
| dc.title | | The early news catches the attention: On the relative price impact of similar economic indicators | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 702992909 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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