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Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements
Chan, Kam Fong; Bowman, Robert G.; Neely, Christopher J. - 2022
This study provides evidence of common bivariate jumps (i.e., systematic cojumps) between the market index and style-sorted portfolios. Systematic cojumps are prevalent in book-to-market portfolios and hence, their risk cannot easily be diversified away by investing in growth or value stocks....
Persistent link: https://www.econbiz.de/10013291770
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The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations
Chulia-Soler, Helena (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003651504
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Monetary Policy Surprises, Investment Opportunities, and Asset Prices
Detzel, Andrew L. - 2019
Recent evidence shows that monetary policy announcements convey significant information about expected market returns and are therefore good candidates for innovations in intertemporal-asset pricing state variables. I propose an asset pricing model with the market return and a mimicking...
Persistent link: https://www.econbiz.de/10012904527
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011544322
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Financial transaction taxes : announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011550386
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10011446937
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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …
Persistent link: https://www.econbiz.de/10012818141
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The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
Persistent link: https://www.econbiz.de/10012805509
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Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19
Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15
This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …
Persistent link: https://www.econbiz.de/10012622818
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The geography of investor attention
Mengoli, Stefano; Pagano, Marco; Pattitoni, Pierpaolo - 2021
Persistent link: https://www.econbiz.de/10013171539