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The Effect of Salience on the Equity Market Reaction to Innovation Announcements : Theory and Evidence from Patent Grants and FDA Drug Approvals

Chemmanur, Thomas J.; Li, Dongmei; Tseng, Kevin; Wang, … - 2023

We analyze, theoretically and empirically, the implications of salience on innovation announcements in the … biopharmaceutical industry. We hypothesize that equity market investors are more likely to pay attention to an innovation announcement … patent grant announcements of the same molecule. Based on this assumption, we develop a dynamic model with limited investor …

Persistent link: https://www.econbiz.de/10014352748

Fracking, Drilling, and Asset Pricing : Estimating the Economic Benefits of the Shale Revolution

Gilje, Erik - 2020

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock …

Persistent link: https://www.econbiz.de/10012854912

Not so fast : high-frequency financial data for macroeconomic event studies

Ozdagli, Ali - 2013

Over the last decade, it has become increasingly popular to use event studies with intraday asset pricing data to study the effect of macroeconomic events on the economy. The proponents of this approach argue that asset prices react to macroeconomic events very quickly and that if we know the...

Persistent link: https://www.econbiz.de/10010236186

Market Reaction to an Earnings Shock : A Test of the Conservatism Effect

Alwathainani, Abdulaziz M. - 2014

In this paper, I empirically test the conservatism effect of Barberis, Shleifer and Vishny (1998). Conditioning on a shock to quarterly earnings, firms ranking in the top (bottom) earnings shock quintile exhibit substantial price momentum over the next three-month periods following the initial...

Persistent link: https://www.econbiz.de/10013068900

Stock Market's Reaction to Employment News : Bad News is Not Good Anymore

Kottimukkalur, Badrinath - 2020

I document a shift in the stock market's reaction to employment news beginning early 2000s. Good employment news increases stock prices during expansions but has no effect during recessions. Overall, good employment news is good for stocks, a shift from the relationship documented in earlier...

Persistent link: https://www.econbiz.de/10012840724

Good News, Bad News, No News : The Media and the Cross Section of Stock Returns

Naumer, Hans-Jörg - 2020

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

Persistent link: https://www.econbiz.de/10012841196

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

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/10012908673

Stock Price Discovery in Earnings Season

Sun, Qi - 2016

This study investigates whether the timing of earnings announcement in earnings season affects stock price discovery process. This paper documents that market reaction is more favorable for earnings announcements made at the beginning of earnings season (“timing effect”). Price reaction on...

Persistent link: https://www.econbiz.de/10013003471

Further Evidence on the Strategic Timing of Earnings News : Joint Analysis of Weekdays and Times of Day

Michaely, Roni - 2016

Using combinations of weekdays and times of day (before, during, and after trading hours) of earnings announcements, we examine whether managers attempt to strategically time these announcements. We document that the worst earnings news is announced on Friday evening and find robust evidence...

Persistent link: https://www.econbiz.de/10013004152

Emission Permits and the Announcement of Realized Emissions : Price Impact, Trading Volume, and Volatilities

Hitzemann, Steffen - 2016

This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday...

Persistent link: https://www.econbiz.de/10013007371

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