There is strong evidence that macroeconomic releases influence prices in financial markets. However, why do markets react to some announcements while they ignore others with a similar content? Based on a Bayesian learning model, we show that market impact is mainly determined by information...

In this experimental study we examine the impact of self-fulfilling prophecies on financial ratings. According to theoretical models like Kuhner (2001), rating agencies are more likely to reveal their private information if their rating can not become self-fulfilling from an ex-post point of...

In the standard regression of bidder announcement returns (ACARs) on bidder size in US data from 1981-2014, the coefficient on bidder size is positive and significant (0.5, t = 3.9) when the target is a public firm, where the average ACAR is negative (−1.4%); but it is negative and significant...