The paper analyses a case study of time lag in processing market-sensitive information with intraday data. On February 2011, the Italian Parliament approved the so called Milleproroghe decree issued by the Government, which included, among others, a new important rule for banks transforming the deferred tax assets into tax credits. Although information on the approval of the law had been available since February 8, on February 15 the market took twelve minutes to react to the news and almost an hour to fully absorb it. This delay created significant arbitrage opportunities that can be explained with traders’ inability to process immediately technical and complex matters. Failure to comply with these cognitive limitations prevents traders from incorporating promptly new information in market prices

Innocenti, A., Malpenga, P., Menconi, L., & Santoni, A. (2012). Time Lags in Processing Market-Sensitive Information: A Case Study. JOURNAL OF TRADING, 7(4), 68-77.

Time Lags in Processing Market-Sensitive Information: A Case Study

INNOCENTI, ALESSANDRO;
2012

Abstract

The paper analyses a case study of time lag in processing market-sensitive information with intraday data. On February 2011, the Italian Parliament approved the so called Milleproroghe decree issued by the Government, which included, among others, a new important rule for banks transforming the deferred tax assets into tax credits. Although information on the approval of the law had been available since February 8, on February 15 the market took twelve minutes to react to the news and almost an hour to fully absorb it. This delay created significant arbitrage opportunities that can be explained with traders’ inability to process immediately technical and complex matters. Failure to comply with these cognitive limitations prevents traders from incorporating promptly new information in market prices
Innocenti, A., Malpenga, P., Menconi, L., & Santoni, A. (2012). Time Lags in Processing Market-Sensitive Information: A Case Study. JOURNAL OF TRADING, 7(4), 68-77.
File in questo prodotto:
File Dimensione Formato  
JOT-INNOCENTI.PDF

non disponibili

Tipologia: Pre-print
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 2.8 MB
Formato Adobe PDF
2.8 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11365/39244
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo