11-077/4 - On the Effects of Private Information on Volatility

• Authors
  Anne Opschoor, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Nick Taylor, Cardiff University
• Publication date
  May 12, 2011

• Keywords
  Information, macroeconomic announcements, order flow, Treasury futures, heterogeneity
• JEL
  G14; E1