Stale Information, Shocks, and Volatility
利用欧洲银行股日内数据，研究公开信息陈旧程度如何放大私人信息对股价波动率的影响，发现信息越陈旧，波动率效应越强且更持久。
We propose a new approach to measuring the effect of unobservable private information on volatility. Using intraday data, we estimate the effect of a well‐identified shock on the volatility of stock returns of European banks as a function of the quality of public information available about the banks. We hypothesize that as publicly available information becomes stale, volatility effects and its persistence increase, as private information of investors becomes more important. We find strong support for this idea in the data. We further show that stock volatility is higher just before important announcements if information is stale.