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Political uncertainty, market anomalies and Presidential honeymoons

Chan, Kam Fong; Gray, Philip K.; Gray, Stephen; Zhong, Angel - In: Journal of banking & finance 113 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012226090

Volatility Jumps and Macroeconomic News Announcements

Chan, Kam Fong - 2018

While prior literature documents a link between macroeconomic news and price jumps, this paper demonstrates two channels through which economic announcements also manifest in volatility jumps. First, there is a strong coincidence of volatility jumps with scheduled announcements. Second, the mean...

Persistent link: https://www.econbiz.de/10012920473

Systematic cojumps, market component portfolios and scheduled macroeconomic announcements

Kam Fong Chan; Bowman, Robert G.; Neely, Christopher J. - 2017 - This version: April 2017

Persistent link: https://www.econbiz.de/10011691468

A new government bond volatility index predictor for the U.S. equity premium

Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215

Persistent link: https://www.econbiz.de/10012033788

Asset pricing on earnings announcement days

Chan, Kam Fong; Marsh, Terry Alan - In: Journal of financial economics 144 (2022) 3, pp. 1022-1042

Persistent link: https://www.econbiz.de/10013413222

What can we learn from firm-level jump-induced tail risk around earnings announcements?

Liu, Mengxi; Chan, Kam Fong; Faff, Robert W. - In: Journal of banking & finance 138 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013461866

COVID-19 vaccines and global stock markets

Chan, Kam Fong; Chen, Zhuo; Wen, Yuanji; Xu, Tong - In: Finance research letters 47 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013553861

Stock weighting and nontrading bias in estimated portfolio returns

Gray, Philip K. - In: Accounting and finance : journal of the Accounting … 54 (2014) 2, pp. 467-503

Persistent link: https://www.econbiz.de/10010373402

Anomalies, risk adjustment and seasonality : Australian evidence

Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218

Persistent link: https://www.econbiz.de/10010530242

Assessing the usefulness of daily and monthly asset-pricing factors for Australian equities

Gray, Philip K.; Zhong, Angel - In: Accounting and finance 62 (2022) 1, pp. 181-211

Persistent link: https://www.econbiz.de/10013166392