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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
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Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements
Blouin, Jennifer L. - 2000
This paper examines the impact of capital gains taxes on equity pricing. Examining three-day cumulative abnormal returns for quarterly earning announcements from 1983-1997, we present evidence consistent with shareholders' capital gains taxes affecting stock price responses. To our knowledge,...
Persistent link: https://www.econbiz.de/10012471123
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Macro News and Micro News : Complements or Substitutes?
Hirshleifer, David - National Bureau of Economic Research - 2021
We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention,...
Persistent link: https://www.econbiz.de/10012585415
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Earnings and Dividend Announcements is there a Corroboration Effect?
Kane, Alex - 1983
We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine whether investors evaluate the two announcements in relation to each other.We find that there is a statistically significant interaction effect.The abnormal return...
Persistent link: https://www.econbiz.de/10012477849
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The Earnings Announcement Premium and Trading Volume
Lamont, Owen - 2007
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest...
Persistent link: https://www.econbiz.de/10012465564
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Public Audit Oversight and Reporting Credibility : Evidence from the PCAOB Inspection Regime
Gipper, Brandon - 2015
This paper examines how audit oversight by a public-sector regulator affects investors' assessments of reporting credibility. We analyze whether market responses to unexpected earnings releases increase following the introduction of the Public Company Accounting Oversight Board (PCAOB), as...
Persistent link: https://www.econbiz.de/10012457139
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American Disclosure Options
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
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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
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Is Addiction "Rational"? Theory and Evidence
Gruber, Jonathan - 2000
A standard model of addictive process is Becker and Murphy's rational addiction' model, which has the key empirical prediction that the current consumption of addictive goods should respond to future prices, and the key normative prediction that the optimal government regulation of addictive...
Persistent link: https://www.econbiz.de/10012471269
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Tax Policy and Consumer Spending : Evidence from Japanese Fiscal Experiments
Watanabe, Katsunori - 1999
This paper studies the extent to which the impact of tax policy on consumer spending differs between temporary and permanent, as well as anticipated and unanticipated tax changes. To discriminate between them, we use institutional information such as legal distinction between temporary and...
Persistent link: https://www.econbiz.de/10012471538