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How News Affects Sectoral Stock Prices Through Earnings Expectations and Risk Premia
Kristiansen, Kristian; Hvid, Anna - 2021
A growing body of literature analyses the impact of news on companies’ equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10013314912
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
importance of private information in agents' information sets at a given point in time. It studies the reaction of UK short … which the Bank of England releases one of its main publications, it can become stale over time. In the course of this … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …
Persistent link: https://www.econbiz.de/10013157672
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Price Drift Before U.S. Macroeconomic News : Private Information About Public Announcements?
Kurov, Alexander - 2016
21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices … begin to move in the "correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts …
Persistent link: https://www.econbiz.de/10012992424
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Stale Information, Shocks and Volatility
Gropp, Reint; Kadareja, Arjan - 2021
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...
Persistent link: https://www.econbiz.de/10013317418
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Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?
Gilbert, Thomas - 2016
The literature documents a heterogeneous asset price response to macroeconomic news announcements: Some announcements have a strong impact on asset prices and others do not. In order to explain these differences, we estimate a novel measure of the intrinsic value of a macroeconomic announcement,...
Persistent link: https://www.econbiz.de/10012999415
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The reception of public signals in financial markets - what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short … which the Bank of England releases one of its main publications, it can become stale over time. In the course of this … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …
Persistent link: https://www.econbiz.de/10011605123
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Catching Falling Knives : Speculating on Market Overreaction
Colliard, Jean-Edouard - 2013
Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...
Persistent link: https://www.econbiz.de/10013082533
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Competition Among High-Frequency Traders, and Market Quality
Breckenfelder, Johannes - 2019
We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...
Persistent link: https://www.econbiz.de/10012868588
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Investing in crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10012605244
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Investing in Crises
Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021
We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...
Persistent link: https://www.econbiz.de/10013227328