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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2017
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...
Persistent link: https://www.econbiz.de/10012970137
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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2015
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...
Persistent link: https://www.econbiz.de/10013012079
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Announcements, Expectations, and Stock Returns with Asymmetric Information
Han, Leyla Jianyu - 2020
Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors …, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational …
Persistent link: https://www.econbiz.de/10012846330
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Frictionless house-price momentum
Fève, Patrick; Moura, Alban - 2023
Persistent link: https://www.econbiz.de/10014428525
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Frictionless house-price momentum
Fève, Patrick; Moura, Alban - 2023
Persistent link: https://www.econbiz.de/10014432856
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404647
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How informative are the unpredictable components of earnings forecasts?
Bruijn, Bert de; Franses, Philip Hans - 2015
earnings forecasters, we see that small adjustments to the model forecasts lead to more forecast accuracy. Based on past track …
Persistent link: https://www.econbiz.de/10010490078
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Analyst Forecast Errors and Stock Price Behavior Near the Earnings Announcement Dates of LIFO Adopters
Biddle, Gary C. - 2010
Ricks [1982] found that stock returns near the earnings disclosure dates of 1974 LIFO adopters were negative and significantly lower than returns near the earnings disclosure dates of firms not using LIFO.Given that firms adopting LIFO in 1974 were voluntarily switching to an accounting method...
Persistent link: https://www.econbiz.de/10013138029
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Financial Market Reactions to Earnings Announcements and Earnings Forecast Revisions : Evidence from the U.S. and China
Gift, Michael J. - 2010
This paper examines the impact of earnings announcements and earnings forecast revisions on stock returns across …-looking earnings announcement information and forward-looking earnings forecast information on the price of equity shares. We analyze … availability and actual or perceived reliability affect this relationship. We find that forward-looking analyst forecast …
Persistent link: https://www.econbiz.de/10013138780
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Earnings Volatility, Post-Earnings Announcement Drift and Trading Frictions
Cao, Sean - 2015
We find that lower ex-ante earnings volatility leads to higher Post-Earnings Announcement Drift (PEAD). PEAD is a function of both the magnitude of an earnings surprise and its persistence. While prior research has largely investigated market reactions to the magnitude of the earnings surprise,...
Persistent link: https://www.econbiz.de/10013039007