Long-Term Volatility Shapes the Stock Market’s Sensitivity to News
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More about this item
Keywords
event study; long- and short-term volatility; macroeconomic announcements; stock market response; time-varying risk premia; volatility feedback effect;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2023-12-11 (Financial Markets)
- NEP-RMG-2023-12-11 (Risk Management)
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