This study presents a review of theoretical concepts described in the literature that explain how corporate events might be perceived by investors. The theoretical discussion in this paper is related to three corporate events: CEO turnovers, dividend payouts, and block trades. The objective of...

The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using...

We identify a new mechanism of opportunistic insider trading that is associated with attention-driven mispricing. Insiders are more likely to sell their company’s stock after increases in retail attention, and they are more likely to buy after attention decreases. A long-short insider-trading...

We investigate investor behavior and firm performance related to corporate restructuring announcements using a database of Security Exchange Commission (SEC) filings by U.S. firms and web traffic on the SEC’s website. We find that abnormal investor attention positively predicts restructuring...

We use the Campbell (1991) return decomposition framework to reexamine the variation in the information content of earnings between profit firms and loss firms and over time. We show that current earnings surprises are more strongly correlated with the discount rate news component of returns for...

We present evidence of investors underreacting to the absence of events in financial markets. Routine-based insiders strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our hypothesis, insider silence following routine sell...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news' precision is rarely disclosed. Therefore, we extend standard Bayesian learning...

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...