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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …
Persistent link: https://www.econbiz.de/10010298727
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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …
Persistent link: https://www.econbiz.de/10010295594
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010297797
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010303687
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The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010324062
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010270815
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Bidder cash reserve effect under the precautionary motive: Evidence from UK
Gao, Ning; Mohamed, Abdulkadir - 2011
Cash-rich bidders in UK have better announcement abnormal returns than cash-poor ones during 1984-2007, contrasting previous findings in the US. The positive cash reserve effect is mainly from bidders of high long-run growth or those with non-trivial institutional holdings. Moreover, cash-rich...
Persistent link: https://www.econbiz.de/10010409434
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What drives bidder cash reserve effects in acquisitions: Agency conflicts or precautionary motive?
Gao, Ning - 2011
A cash-rich company is less likely to be a bidder during 1994-2008 in the US, contrasting the findings based on earlier sample period. This is mainly due to the companies with high residual market-to-book ratios (i.e. the residual of the actual market-to-book ratio regressed on measures of...
Persistent link: https://www.econbiz.de/10010409445
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Does the Adverse Announcement Effect of Climate Policy Matter? - A Dynamic General Equilibrium Analysis
Riekhof, Marie-Catherine; Bröcker, Johannes - 2016
We consider a carbon emissions tax announced today, but implemented after a known time-lag. Before implementation, the announcement induces higher emissions than without intervention. In welfare terms, this adverse announcement effect could more than outweigh the gain after tax implementation....
Persistent link: https://www.econbiz.de/10011753318
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The announcement effect: Evidence from open market desk data
Jordà, Òscar; Demiralp, Selva; Liu, Holly; Williams, … - 2001
This paper investigates the ability of the Federal Reserve to manipulate the overnight rate without open market operations (which Demiralp and Jorda (2000) term the announcement effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) takes advantage of forecast...
Persistent link: https://www.econbiz.de/10010318605