The early news catches the attention: On the relative price impact of similar economic indicators
✍ Scribed by Dieter Hess; Alexandra Niessen
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 215 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0270-7314
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✦ Synopsis
Abstract
This study investigates why financial markets react to the release of some economic indicators while ignoring others with similar informational content. Based on a Bayesian learning model, we show that the market impact of an economic indicator depends crucially on its early availability. The sequential introduction of the two largest German business surveys provides a natural experiment by which the model's implications are tested empirically. We show that even a large and well‐established indicator loses market impact if a similar indicator is launched and released earlier. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:909–937, 2010