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Missing events in event studies : identifying the effects of partially-measured news surprises

Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018

Persistent link: https://www.econbiz.de/10011915481

The underreaction hypothesis and the new issue puzzle : evidence from Japan

Kang, Jun-koo; Kim, Yong-cheol; Stulz, René M. - 1996

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Public information and the persistence of bond market volatility

Jones, Charles M.; Lamont, Owen A.; Lumsdaine, Robin L. - 1996

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The earnings announcement premium and trading volume

Lamont, Owen A.; Frazzini, Andrea - 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...