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Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …

Persistent link: https://www.econbiz.de/10009787494

Momentum investing : evidence from the US tourism and hospitality

Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...

Persistent link: https://www.econbiz.de/10013330980

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

Financial Markets and News about the Coronavirus

Mamaysky, Harry - 2020

I examine how financial markets interact with news about the COVID-19 pandemic. A twelve topic model optimizes the trade-off between number of topics and topic coherence. Using this model, I show that before mid-March 2020 markets react more to the same quantum of news when volatility is higher...

Persistent link: https://www.econbiz.de/10012838169

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow …

Persistent link: https://www.econbiz.de/10012959469

High-frequency trading around macroeconomic news announcements : evidence from the U.S. treasury market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2014

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

Persistent link: https://www.econbiz.de/10010441177

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

Jiang, George J. - 2018

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

Persistent link: https://www.econbiz.de/10012912840

Day of the wekk anomalies

Philpot, James (contributor) - 2011

Persistent link: https://www.econbiz.de/10009355298

The evolution of the weekend effect in US markets

Olson, Dennis; Mossman, Charles; Chou, Nan-ting - In: The quarterly review of economics and finance : journal … 58 (2015), pp. 56-63

Persistent link: https://www.econbiz.de/10011574064

The Halloween Effect in US Sectors : Comment

Doeswijk, Ronald Q. - 2009

We argue that the Jacobsen and Visaltanachoti (2009) study is incomplete. Jacobsen and Visaltanachoti (2009) evaluate the Halloween effect or ‘Sell in May'-effect as documented by Bouman and Jacobsen (2002), and extend the analysis into the relative performances of sectors during the winter...

Persistent link: https://www.econbiz.de/10013157007

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