The COVID-19 outbreak slowed down global economic activities substantially, resulting in unrest in the financial markets, especially in the beginning of the pandemic outbreak. This study aims to investigate if COVID-19 caused abnormal returns in the US and the Chinese stock markets in the...

Using a score provided by Thomson Reuters to measure the tone of news articles, I construct a weekly measure of qualitative information. The measure predicts future returns over the next 13 weeks and mitigates short-term reversal in the weekly momentum strategy. A portfolio that takes a long...

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...