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Time Will Tell : Information in the Timing of Scheduled Earnings News

Johnson, Travis L. - 2017

Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....

Persistent link: https://www.econbiz.de/10012972886

S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Miao, Hong - 2018

This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps between 8:30 am and 8:35 am and over three‐fifths of the jumps...

Persistent link: https://www.econbiz.de/10012940385

S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Miao, Hong - 2018

Persistent link: https://www.econbiz.de/10012940393

Investor Sentiment in News and the Calendar Anomaly -- New Evidence from a Large Textual Data

Okada, Katsuhiko - 2014

The well-known stock market adage "sell in May and go away" arose from long-term stock market seasonality in major financial markets around the globe. Kamastra, Kramer and Levy (2003) present evidence that Seasonal Affective Disorder causes this seasonality, as this condition has a profound...

Persistent link: https://www.econbiz.de/10013059014

Sentiments extracted from news and stock market reactions in Vietnam

Loan Thi Vu; Dong Ngoc Pham; Hang Thu Kieu; Thuy Thi … - In: International Journal of Financial Studies : open … 11 (2023) 3, pp. 1-16

News on the stock market contains positive or negative sentiments depending on whether the information provided is favorable or unfavorable to the stock market. This study aims to discover news sentiments and classify news according to its sentiments with the application of PhoBERT, a Natural...

Persistent link: https://www.econbiz.de/10014419405

Short-term stock price reversals may be reversed

Kudryavtsev, Andrey - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 129-146

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

Persistent link: https://www.econbiz.de/10009717374

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …

Persistent link: https://www.econbiz.de/10009787494