We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. We find that dividend-change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market...

We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. We find that dividend change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market...

Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995; Kawaller, Koch, & Peterson, 1994). This note analyzes time...