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Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2023

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...

Persistent link: https://www.econbiz.de/10014447256

So Many Jumps, So Few News

Aït-Sahalia, Yacine; Li, Chen Xu; Li, Chenxu - National Bureau of Economic Research - 2024

This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market...

Persistent link: https://www.econbiz.de/10014635709

Do "Reverse Payment" Settlements of Brand-Generic Patent Disputes in the Pharmaceutical Industry Constitute an Anticompetitive Pay for Delay?

Drake, Keith M. - 2014

Brand and generic drug manufacturers frequently settle patent litigation on terms that include a payment to the generic … generic, and conduct an event study of the announcement of the patent settlements on the stock price of the brand. For …

Persistent link: https://www.econbiz.de/10012458375

Fracking, Drilling, and Asset Pricing : Estimating the Economic Benefits of the Shale Revolution

Gilje, Erik - 2016

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock …

Persistent link: https://www.econbiz.de/10012455766

Identifying Shocks to Systematic Risk in Times of Crisis

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

Persistent link: https://www.econbiz.de/10014635656

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012480669

A Tax-Based Test of the Dividend Signaling Hypothesis

Bernheim, B. Douglas - 1992

We propose and implement a new test of the dividend signaling hypothesis that is designed to discriminate between dividend signaling and other theories that would account for the apparent existence of a dividend preference. Our test refines the use of data on stock price responses to dividend...

Persistent link: https://www.econbiz.de/10012474719

Risk Preferences and The Macro Announcement Premium

Ai, Hengjie - 2016

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...

Persistent link: https://www.econbiz.de/10012456152

Levered Returns

Welch, Ivo - 2016

Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...

Persistent link: https://www.econbiz.de/10012456525

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