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What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements
Gu, Chen - 2018
This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with...
Persistent link: https://www.econbiz.de/10012935686
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What moves markets?
Kerssenfischer, Mark; Schmeling, Maik - 2022
What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...
Persistent link: https://www.econbiz.de/10013202601
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Economic Consequences of Announcing Strategic Alternatives
Zha Giedt, Jenny - 2019
How does a public announcement about a company exploring its potential sale or merger (“strategic alternatives”) affect the company and its shareholders? This study provides the first look at some of the positive and negative consequences to this unique disclosure of strategic alternatives....
Persistent link: https://www.econbiz.de/10012903796
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Announcements, Expectations, and Stock Returns with Asymmetric Information
Han, Leyla Jianyu - 2020
Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic...
Persistent link: https://www.econbiz.de/10012846330
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Skewness in Stock Returns : Reconciling the Evidence on Firm versus Aggregate Returns
Albuquerque, Rui A. - 2011
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large … announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm … announcement events can lead to negative skewness in aggregate returns. I provide evidence consistent with the model predictions …
Persistent link: https://www.econbiz.de/10013133437
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The Role of the Business Press as an Information Intermediary
Bushee, Brian J. - 2012
This paper investigates whether the business press serves as an information intermediary. The press potentially shapes firms' information environments by packaging and disseminating information, as well as by creating new information through journalism activities. We find that greater press...
Persistent link: https://www.econbiz.de/10013113468
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Earnings Announcements, Miller’s Stocks and Private Investors – Trading Patterns and Performance
Etheber, Thomas - 2012
This paper investigates market-level and private investor trading patterns and performance around earnings announcements. We document clear evidence for abnormal trading around earnings announcements for both the entire market and households in Germany and observe that private investor...
Persistent link: https://www.econbiz.de/10013114290
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Sentiment in Financial News and the Application of Portfolio Management
Lu, Ralph - 2013
We construct a sentiment index with the incorporation of representative proxies in the Taiwan Stock Market and investigate the application of a cross-section of stock returns. The major contribution of the study is that the huge Chinese financial news related to each listed stock is collected...
Persistent link: https://www.econbiz.de/10013084067
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Skewness in Stock Returns : Reconciling the Evidence on Firm Versus Aggregate Returns
Albuquerque, Rui A. - 2014
Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large … announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm … announcement events can lead to conditional asymmetric stock return correlations and negative skewness in aggregate returns. I …
Persistent link: https://www.econbiz.de/10013068348
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The Effects of Conference Call Tones on Market Perceptions of Value Uncertainty
Borochin, Paul - 2018
Quarterly earnings conference calls convey fundamental information, as well as manager and analyst opinion about the firm. We examine how market uncertainty regarding firm valuation is affected by conference call tones. Using textual analysis of all publicly available earnings calls (2002-2012)...
Persistent link: https://www.econbiz.de/10012937396