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- W2013577495 abstract "This paper examines how firm specific and macroeconomic announcements affect transaction rates in U.S. airline stocks. Using a version of the autoregressive conditional hazard framework of Hamilton and Jordà (2002) that incorporates market microstructure variables, we show that on average, trading intensity spikes prior and consequent to macroeconomic announcements, but decreases around firm-specific releases. Further, when we use intraday crude oil futures returns as a proxy for industry relevant and globally important news we find that their effects are statistically significant, with higher oil futures returns increasing the probability of trade." @default.
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- W2013577495 date "2014-07-01" @default.
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- W2013577495 title "How does public information affect the frequency of trading in airline stocks?" @default.
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- W2013577495 doi "https://doi.org/10.1016/j.jbankfin.2014.03.033" @default.
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