European Business Schools Librarian's Group

HEC Research Papers Series,
HEC Paris

No 975: News Trading and Speed

Thierry Foucault (), Johan Hombert () and Ioanid Rosu ()

Abstract: Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news, account for a much bigger fraction of trading volume, and forecast short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the fast investor's share of trading volume. Last, price changes are more correlated with news and trades contribute more to volatility when the investor has fast access to news.

Keywords: Informed trading; news; volatility; volume; price discovery; high frequency trading

JEL-codes: D82; D83; G14

63 pages, November 4, 2013

Full text files

papers.cfm?abstract_id=2188822 PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 15:47:25.