Do fundamentals shape the price response? A critical assessment of linear impact models

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@article{160bc62edf1a4df8b8694ccc1c67960c,

title = "Do fundamentals shape the price response? A critical assessment of linear impact models",

author = "Michele Vodret and Iacopo Mastromatteo and Bence T{\'o}th and Michael Benzaquen",

year = "2022",

month = jan,

day = "1",

doi = "10.1080/14697688.2022.2114376",

language = "English",

volume = "22",

pages = "2139--2150",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Taylor and Francis Ltd.",

number = "12",

}

TY - JOUR

T1 - Do fundamentals shape the price response? A critical assessment of linear impact models

AU - Vodret, Michele

AU - Mastromatteo, Iacopo

AU - Tóth, Bence

AU - Benzaquen, Michael

PY - 2022/1/1

Y1 - 2022/1/1

U2 - 10.1080/14697688.2022.2114376

DO - 10.1080/14697688.2022.2114376

M3 - Article

AN - SCOPUS:85141178042

SN - 1469-7688

VL - 22

SP - 2139

EP - 2150

JO - Quantitative Finance

JF - Quantitative Finance

IS - 12

ER -