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Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.07.012
Abstract: Abstract This paper examines the impact of high-frequency trading (HFT) on market underreaction to earnings news as measured by the magnitude of post-earnings announcement drift (PEAD). Using a dataset provided by NASDAQ, we are able…
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Keywords:
high frequency;
market underreaction;
underreaction earnings;
hft ... See more keywords