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Volatility and informativeness
Dávila, Eduardo; Parlatore, Cecilia - In: Journal of financial economics 147 (2023) 3, pp. 550-572
Persistent link: https://www.econbiz.de/10014249458
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Comovement, information production, and the business cycle
Brockman, Paul; Liebenberg, Ivonne; Schutte, Maria - In: Journal of financial economics 97 (2010) 1, pp. 107-129
Persistent link: https://www.econbiz.de/10003991449
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Essays in financial economics
Savor, Pavel - 2006
Persistent link: https://www.econbiz.de/10003965701
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Stock returns after major price shocks : the impact of information
Savor, Pavel - In: Journal of financial economics 106 (2012) 3, pp. 635-659
Persistent link: https://www.econbiz.de/10009710154
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Information efficiency and firm-specific return variation
Kelly, Patrick J. - In: The quarterly journal of finance 4 (2014) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10010472899
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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An information theoretic analysis of stock returns, volatility and trading volumes
Ong, Marcus Alexander - In: Applied economics 47 (2015) 34/36, pp. 3891-3906
Persistent link: https://www.econbiz.de/10011294307
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The impact of market-specific public information on return variance in an illiquid market
Christie-David, Rohan - In: The journal of futures markets 17 (1997) 8, pp. 887-908
Persistent link: https://www.econbiz.de/10001232839
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The Opposing Effects of Information Complexity and Information Content on Return Volatility
Belo, Frederico - 2018
We evaluate the impact of complexity and content of new information on stock return volatility dynamics around 10-K … fillings. On average, return volatility increases by 0.4% in the first four weeks after the release of the report, followed by … reports. The effects are economically significant: an options-based investment strategy exploring the volatility dynamics …
Persistent link: https://www.econbiz.de/10012937620
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Idiosyncratic return variation : firm-specific information or noise?
Shu, Yaruo; Sohn, Sungbin - 2021
There has been a long debate on the interpretation of idiosyncratic return variation. We inform this debate by examining the extent to which stock return synchronicity is associated with the post-earnings announcement drift (PEAD) in China. We find that firms with higher synchronicity exhibit...
Persistent link: https://www.econbiz.de/10013220169