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 …

We studied the effect of the end of Daylight Saving Time (DST) on stock markets around the globe. Using a detailed … returns accompanying the switch to winter time. We found (a) no association between market returns and stock market geographic …

this short time frame. We document that QE announcements by the Fed, ECB, and the Bank of England are associated with …

The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time …+n). As many other anomalies, the TOQ Effect is not necessary persistent in time, so the interval [BQ-m; BQ+n] could … experience some changes. This paper explores such changes for the time intervals specific to the Turn-of-the-quarter (TOQ) Effect …

are neither too fast nor too slow. Based on simulations, we demonstrate that an analogous intermediate time delay is also …

examine whether managers attempt to strategically time these announcements. We document that the worst earnings news is …

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …