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Keywords: price discovery
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Journal Articles
The Accounting Review (2022) 97 (5): 59–88.
Published: 01 September 2022
..., which are a source of information for institutional investors, while traditional media attention tends to be higher on filing days. Significant price discovery occurs on the event date and on the days between that day and the filing date. The traditional media coverage on the filing day appears...
Journal Articles
The Accounting Review (2021) 96 (3): 373–401.
Published: 01 May 2021
...Charles M. C. Lee; Edward M. Watts ABSTRACT This study examines how an increase in tick size affects algorithmic trading (AT), fundamental information acquisition (FIA), and the price discovery process around earnings announcements (EAs). Leveraging the SEC's randomized Tick Size Pilot experiment...
Journal Articles