Public Information Arrival
构建了一个衡量公共信息流入金融市场的指标（路透社新闻发布数量），发现信息到达具有日内模式和非恒定性，并与交易量呈正相关，但与价格波动关系不显著。
We develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. We find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next we relate our measure of public information to aggregate measures of intraday market activity. Our results suggest a positive, moderate relationship between public information and trading volume, but an insignificant relationship with price volatility.