Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev
many empirical studies seeking to link the effects of macroeconomic
announcements to movements in stock, bond and foreign … exchange returns. While the first generation
studies relied on daily, or even weekly or monthly data, the more recent … discussed for example in ABDV (2003), most existing empirical studies tend to support
the good news hypothesis, subject to …