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Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011900777
The welfare implications of vertical mergers have been a subject of disagreement for decades. Similar to horizontal mergers, economists need to weigh the efficiency gains relative to the market power concerns when considering the competitive effects of vertical mergers. However, in vertical...
Persistent link: https://www.econbiz.de/10013370976
There is a growing concern that U.S. merger control may have been too lenient, but empirical evidence remains limited. Event studies have been used as one method to acquire empirical insights into the competitive effects of mergers. However, existing work suffers from strong identifying...
Persistent link: https://www.econbiz.de/10012161053
The Inflation Reduction Act of 2022 (IRA) represents the largest climate policy action ever undertaken in the United States. Its legislative path was marked by two abrupt shifts as the likelihood of climate policy action fell to near zero and then rose to near certainty. We investigate equity...
Persistent link: https://www.econbiz.de/10014422560
The recent merger between US Airways and American Airlines was approved by federal and state antitrust authorities, after the merging parties agreed to divest slots and gates at certain “constrained” airports to low cost carriers. By analyzing the stock-market returns of rival airlines, we...
Persistent link: https://www.econbiz.de/10012889930
Estimations show that in the course of the steel trade war, share prices of American companies benefited upon the announcement of higher tariffs. Announcements of higher tariffs between China and the U.S. caused share prices to tumble-globally and in the U.S.. Tariff related announcements...
Persistent link: https://www.econbiz.de/10012007679
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in...
Persistent link: https://www.econbiz.de/10010392091
We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure...
Persistent link: https://www.econbiz.de/10015076295
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