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V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift : Evidence from Korea

Kim, Min Ki; Kim, Toyoung; Kim, Tong Suk - 2018

We attempt to explain post-earnings announcement drift using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we...

Persistent link: https://www.econbiz.de/10014113621

What Drives Stock Prices along Business Cycles?

Mai, Dat - 2022

This paper applies a Bayesian break method to studying the empirical time-varying relations between stock price ratios and subjective expectations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations unconditionally explain 80% of price variations since...

Persistent link: https://www.econbiz.de/10013293691

News Tone, Investor Sentiment, and Liquidity Premium

Liu, Jun; Wu, Kai; Zhou, Ming - 2022

Investor sentiment affects stock market liquidity by affecting noise trading and irrational market makers. Previous studies have focused on this effect with the time-series variation in sentiment and liquidity. This paper utilizes firm-specific news sentiment (FSNS) to examine its effect on...

Persistent link: https://www.econbiz.de/10013492675

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404647

What is the Value of an Innovation? Theory and Evidence on the Stock Market's Reaction to Innovation Announcements

Chemmanur, Thomas J. - 2020

patent grant announcements. We use the media coverage of innovation announcements as a proxy for the investor attention paid …We analyze, theoretically and empirically, the effect of investor attention on the stock market reaction to innovation … with limited investor attention to show that, following the immediate market reaction to innovation announcements, there …

Persistent link: https://www.econbiz.de/10012845977

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news....

Persistent link: https://www.econbiz.de/10003931807

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10003952800

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

Persistent link: https://www.econbiz.de/10003947435

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010

Persistent link: https://www.econbiz.de/10003947458

Surprises in scheduled releases : why do they move the bond market?

Hess, Dieter - 2000

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Persistent link: https://www.econbiz.de/10011445168