Using a sample of equity carve-outs offered over the period of 1985-2015, we find out the time at which the market can know the effects of an equity carve-out on the wealth of existing shareholders. In equity carve-outs, the parent holds a significant fraction of the carved-out subsidiary....

This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...

We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...

This paper examines the association between insider trading before an earnings announcement and the magnitude of the post-earnings announcement drift (PEAD). Consistent with insiders' private information being incorporated into prices through their trading, we find PEAD is significantly lower...

News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single country setting (usually the U.S.), but little work has yet been...

We report an empirical study of a predictive analysis model for equities; the model uses high frequency (minute-bar) market data and quantified news sentiment data. The purpose of the study is to identify a predictive model which can be used in designing automated trading strategies. Given that...