Asymmetric Information in the Stock Market: Economic News and Co-Movement

@inproceedings{Vega2006AsymmetricII,
  title={Asymmetric Information in the Stock Market: Economic News and Co-Movement},
  author={C Virginia Vega and Rui Albuquerque},
  year={2006}
}
We analyze the effect that real-time domestic and foreign news about fundamentals have on the correlation of stock returns of a small open economy, Portugal, and a large open economy, the U.S. We also study the role of public and private information in the price formation process in the U.S. and Portuguese stock markets. First, and consistent with our theoretical model, we find that U.S. macroeconomic news and Portuguese earnings news do not affect the cross-country stock market correlation… CONTINUE READING

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