Tuesday, October 14, 2008

The weight of news

The following article from the Federal Reserve addresses the matter of the effects news announcements have on some assets price (taken in a general sense):
http://www.ny.frb.org/research/current_issues/ci14-6.html

It's a purely statistical approach and therefore lacks any model to really make sense of the data. In particular, the sample of data does not reflect the difference that may exist between a bull market reaction and a bear market reaction.
Some interesting comments however on the type of assets that are the more reactive, on the indices that elicit the most volatility, on the timing of the most significant reaction.

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