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Economic Events, Information Structure, and the Return-Generating Process

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  • Damodaran, Aswath
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 20 (1985)
    Issue (Month): 04 (December)
    Pages: 423-434

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    Handle: RePEc:cup:jfinqa:v:20:y:1985:i:04:p:423-434_01

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    Cited by:
    1. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
    2. Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(2), pages 141-159, April.
    3. Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6985, C.E.P.R. Discussion Papers.
    4. Attiya Y. Javid, 2007. "Stock Market Reaction to Catastrophic Shock : Evidence from Listed Pakistani Firms," Finance Working Papers 22199, East Asian Bureau of Economic Research.
    5. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer, Springer, vol. 36(2), pages 282-302, April.
    6. Javid, Attiya Yasmin, 2009. "The Response of the Pakistani Stock market to a Cataclysmic Event," MPRA Paper 37565, University Library of Munich, Germany.
    7. Laakkonen, Helinä & Lanne, Markku, 2009. "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility," MPRA Paper 23718, University Library of Munich, Germany.
    8. Eakins, Stanley G. & Stansell, Stanley R. & Below, Scott D., 1996. "The determinants of institutional demand for common stock: Tests of the capm vs. individual stock attributes," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 237-257.
    9. DeGennaro, Ramon P. & Shrieves, Ronald E., 1997. "Public information releases, private information arrival and volatility in the foreign exchange market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(4), pages 295-315, December.
    10. Laakkonen , Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Research Discussion Papers 24/2004, Bank of Finland.

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