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http://hdl.handle.net/10419/57713
  

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dc.contributor.authorHess, Dieteren_US
dc.contributor.authorNiessen, Alexandraen_US
dc.date.accessioned2012-04-27en_US
dc.date.accessioned2012-05-02T15:44:26Z-
dc.date.available2012-05-02T15:44:26Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/57713-
dc.description.abstractThere 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.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR Working Paper 07-03en_US
dc.subject.jelE44en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordBayesian Learningen_US
dc.subject.keywordMacroeconomic Announcementsen_US
dc.subject.keywordInformation Processingen_US
dc.titleThe early news catches the attention: On the relative price impact of similar economic indicatorsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn702992909en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:0703-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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