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Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014528264
When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...
Persistent link: https://www.econbiz.de/10012938636
This paper examines the pattern of order aggressiveness, and the determinants of this pattern for institutional and retail brokers in the interval around monetary policy announcements. Utilizing a high-frequency dataset, with broker identifiers for each order submitted on the ASX over the period...
Persistent link: https://www.econbiz.de/10013005095
We present a new approach and set of dictionaries for the analysis of sentiments in financial and business news headlines at the firm level. The proposed Polarity Pattern Approach (PPA) captures the deep structure of context and syntax and reduces measurement errors evident in previous...
Persistent link: https://www.econbiz.de/10014352234
This study provides evidence that high-frequency traders (HFTs) identify patterns in past trades and orders that allow them to anticipate and trade ahead of other investors' order flow. Specifically, HFTs' aggressive purchases and sales lead those of other investors, and this effect is stronger...
Persistent link: https://www.econbiz.de/10012857087
We solve analytically a pure exchange general equilibrium model with a continuum of agents that agree to disagree on how they interpret information. Disagreement fluctuates with information quality and the disagreement model is estimated using data on professional forecasts. We fi nd that...
Persistent link: https://www.econbiz.de/10012859149
We adopt a machine learning-based algorithm to identify direct and indirect company mentions in newspaper articles. We identify the importance of properly matching text segments to their respective companies when estimating human-perceived newspaper sentiment. Previous research has developed...
Persistent link: https://www.econbiz.de/10013404681
The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....
Persistent link: https://www.econbiz.de/10013090197
This paper examines the effect of active attention from sophisticated market participants on managerial bad news hoarding. Using EDGAR search volume (ESV) as a direct measure, we find that, due to the increased cost of bad news disclosure, firms under greater active attention from sophisticated...
Persistent link: https://www.econbiz.de/10013231307
This paper finds that the majority of stock price movements remain unexplained after controlling for both public and private information. This suggests that economists' inability to explain asset price movements is the result of either noise or naive asset pricing models.
Persistent link: https://www.econbiz.de/10011566279