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High-Frequency Trading and Price Informativeness
(2019-03-01)
We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
ISTAT
The Italian National Institute of Statistics, a public research organisation, is the main producer of official statistics in the service of citizens and policy-makers. It operates in complete independence and continuous ...
Thomson Reuters
Thomson Reuters Corporation is a Canadian multinational media conglomerate.
CCM
The CRSP/Compustat Merged Database provides CRSP and Compustat subscribers the ability to access CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database. The CRSPLink® maps complex ...