We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results show that jumps mostly occur during prescheduled...

We examine the effect of U.S. and European news announcements on the spillover of volatility across U.S. and European stock markets. Using synchronously observed international implied volatility indices at a daily frequency, we find significant spillovers of implied volatility between U.S. and...

Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...

One of the contentious issues regarding the post-earnings announcement drift (PEAD) is whether the abnormal stock return is driven by investors' delayed reaction to earnings information or by unexpected information shocks subsequent to earnings announcement. In this paper, we disentangle...

Holding earnings surprise constant, investors react negatively to late earnings announcements. One standard deviation of announcement delay (about 5 days) corresponds to 23 bps lower abnormal returns over a two-day announcement window. We show that the results are robust to further controlling...

We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements...