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Time-varying Media Coverage and Stock Returns

Zheng, Hannan - 2021

I show that news editors have state-dependent preference for different types of firms. Using the New York Times data and natural language processing techniques, I estimate the loadings of media coverage on eight common features of firms and construct the corresponding editor preference. I find...

Persistent link: https://www.econbiz.de/10013238535

Information shocks, jumps, and price discovery : evidence from the US Treasury market

Jiang, George J. (contributor); Lo, Ingrid (contributor); … - 2008

is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …

Persistent link: https://www.econbiz.de/10003749227

S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Miao, Hong - 2018

This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps between 8:30 am and 8:35 am and over three‐fifths of the jumps...

Persistent link: https://www.econbiz.de/10012940385

S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Miao, Hong - 2018

Persistent link: https://www.econbiz.de/10012940393

How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability

Weinbaum, David - 2020

We examine how informed traders trade in the option market around news announcements. We show that their profits depend on whether positions are long or short, whether trades take place before or after news releases, and whether events are scheduled or unscheduled. We predict and find that...

Persistent link: https://www.econbiz.de/10012856388

The market reaction to stock splits : evidence from Germany

Wulff, Christian - 1999

Although stock splits seem to be a purely cosmetic event, there exists ample empirical evidence from the United States that stock splits are associated with abnormal returns on both the announcement and the execution day, and additionally with an increase in variance following the ex-day. This...

Persistent link: https://www.econbiz.de/10009580473

Precious metals under the microscope : a high-frequency analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gebriel G. - 2014

financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold …

Persistent link: https://www.econbiz.de/10010407214

Volatility Shifts and Persistence in Variance : Evidence from the Sector Indices of Istanbul Stock Exchange

Cagli, Efe C. - 2012

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (κ-1) and Kappa-2 (κ-2). The results indicate that the inclusion of volatility shifts in the model substantially …

Persistent link: https://www.econbiz.de/10013112985

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

Persistent link: https://www.econbiz.de/10011568279

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011888693