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Bad news travels slowly : size, analyst coverage and the profitability of momentum strategies

Hong, Harrison G.; Lim, Terence; Stein, Jeremy C. - 1998

Persistent link: https://www.econbiz.de/10000663355

Industry information diffusion and the lead-lag effect in stock returns

Hou, Kewei - 2002

Persistent link: https://www.econbiz.de/10003779968

A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10003823949

Explaining momentum profits with an epidemic diffusion model

Balsara, Nauzer J.; Zheng, Lin; Vidozzi, Andrea; … - In: Journal of economics and finance 30 (2006) 3, pp. 407-422

Persistent link: https://www.econbiz.de/10003413571

GARCH modeling of robust market returns

Cuadro-Sáez, Lucía (contributor); … - 2007

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...