search query: @author Ederington, L. / total: 2
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| Author: | Ederington, L. Lee, J. |
| Title: | The short-run dynamics of the price adjustment to new information |
| Journal: | Journal of Financial and Quantitative Analysis
1995 : MAR, VOL. 30:1, p. 117-134 |
| Index terms: | PRICES ADJUSTMENT COSTS INFORMATION |
| Language: | eng |
| Abstract: | The authors examine how prices in interest rate and foreign exchange futures markets adjust to the new information contained in scheduled macroeconomic news releases in the very short run. Using 10-second returns and tick-by-tick data, the authors find that prices adjust in a series of numerous small, but rapid, price changes that begin within 10 seconds of the news release and are basically completed within 40 seconds of the release. |
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