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dc.contributor.authorHess, Dieteren
dc.contributor.authorNiessen, Alexandraen
dc.date.accessioned2012-04-27-
dc.date.accessioned2012-05-02T15:44:26Z-
dc.date.available2012-05-02T15:44:26Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR Working Paper |x07-03en
dc.subject.jelE44en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordBayesian Learningen
dc.subject.keywordMacroeconomic Announcementsen
dc.subject.keywordInformation Processingen
dc.titleThe early news catches the attention: On the relative price impact of similar economic indicators-
dc.typeWorking Paperen
dc.identifier.ppn702992909en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:0703en

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