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Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

Citations

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Cited by:

  1. Stefano Bonini & Shengyu Huang & Majeed Simaan, 2026. "Watching the FedWatch," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(4), pages 675-697, April.
  2. Abhinava Tripathi & Charu Vadhava & Ravi Raushan Jha, 2026. "Pricing efficiency of European carbon futures market during the COVID-19 pandemic," Australian Journal of Management, Australian School of Business, vol. 51(1), pages 22-61, February.
  3. Fulvio Ortu & Pietro Reggiani & Federico Severino, 2024. "Persistence-based capital allocation along the FOMC cycle," CIRANO Working Papers 2024s-02, CIRANO.
  4. Chen, Xiaohong & Mao, Yue & Cheng, Jixin & Wei, Ping & Li, Xiaoming, 2024. "Green financial policy, technological advancement reversal, assessment of emission reduction effects," Energy Economics, Elsevier, vol. 136(C).
  5. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
  6. Lou, Dong & Pinter, Gabor & Üslü, Semih & Walker, Danny, 2025. "Yield drifts when issuance comes before macro news," Journal of Financial Economics, Elsevier, vol. 165(C).
  7. Johannes, Michael & Seeger, Norman J. & Stroud, Jonathan R., 2026. "Time-varying macroeconomic announcement risk," Journal of Econometrics, Elsevier, vol. 254(PB).
  8. Marmora, Paul, 2025. "The causal effect of limited attention to FOMC announcements," Journal of Economic Behavior & Organization, Elsevier, vol. 234(C).
  9. Zhang, Chu & Zhao, Shen, 2023. "The macroeconomic announcement premium and information environment," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 55-73.
  10. Bangsgaard, Christine & Kokholm, Thomas, 2024. "The lead–lag relation between VIX futures and SPX futures," Journal of Financial Markets, Elsevier, vol. 67(C).
  11. Wang, Chen & Zhao, Kevin, 2024. "Pre-Refunding Announcement Gains in U.S. Treasurys," SocArXiv xucf8, Center for Open Science.
  12. Mattia Bevilacqua & Jon Danielsson & Lerby Ergun & Andreas Uthemann & Jean-Pierre Zigrand, 2026. "Central Bank Crisis Interventions and the Term Structure of Market Fear," Staff Working Papers 26-17, Bank of Canada.
  13. Seil Kim & Seungjoon Oh, 2024. "Outside directors’ insider trading around board meetings," Review of Accounting Studies, Springer, vol. 29(3), pages 2617-2649, September.
  14. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
  15. Alessandro Casini & Adam McCloskey, 2025. "Identification, Estimation and Inference in High-Frequency Event Study Regressions," CEIS Research Paper 608, Tor Vergata University, CEIS, revised 28 Jul 2025.
  16. Hsu, Ching-Chi & Huang, Hong-Gia & Tsai, Wei-Che, 2026. "Option flow dispersion and price discovery: Evidence from China's ETF options market," International Review of Economics & Finance, Elsevier, vol. 109(C).
  17. Han, Leyla Jianyu, 2025. "Announcements, expectations, and stock returns with asymmetric information," Journal of Monetary Economics, Elsevier, vol. 151(C).
  18. Dotsis, George & Rosa, Carlo, 2024. "Factor returns and FOMC announcements: The role of sentiment," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  19. Zhang, Yu & Kappou, Konstantina & Urquhart, Andrew, 2026. "Conditional demand for lottery-type stocks: Information spillovers and asset prices comovement," International Review of Financial Analysis, Elsevier, vol. 113(C).
  20. Kilic, Erdem & Sönmezer, Sitki, 2025. "Does US Monetary Policy Affect Stock Market Behaviour Under Extreme Market Conditions? Evidence from COVID-19," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 15(3), pages 18-28, April.
  21. Manjhi, Ganesh & Shah, Raashid, 2025. "What do sentiments of budget speeches mean for stock returns?," Economic Modelling, Elsevier, vol. 151(C).
  22. Chao Gao & Grace Xing Hu & Xiaoyan Zhang, 2026. "Uncertainty Risk Resolution Before Earnings Announcements," Management Science, INFORMS, vol. 72(3), pages 1835-1857, March.
  23. Zhao, Ningru & Liu, Lanlan & Chen, Conghui, 2025. "Investors' opinion divergence, uncertainty resolution and market reactions to earnings news: Evidence from social media," International Review of Financial Analysis, Elsevier, vol. 104(PA).
  24. Wang, Xi & Gao, Chao & Wang, Tianfu, 2024. "The price of firm-level information uncertainty," Finance Research Letters, Elsevier, vol. 67(PA).
  25. Huang, Jing-Zhi & Li, Peipei & Wang, Ying & Wang, Yuan & Yao, Xiangkun & Zhang, Licheng, 2025. "Do investors reach for yield? Evidence from corporate bond mutual fund flows," Journal of Empirical Finance, Elsevier, vol. 83(C).
  26. Zhi Da & Jian Hua & Tim Chih-Ching Hung & Lin Peng, 2025. "Market Returns and a Tale of Two Types of Attention," Management Science, INFORMS, vol. 71(12), pages 10505-10537, December.
  27. Drienko, Jo & Gao, Chao & Liu, Yifei, 2026. "A skew is a skill: Portfolio skewness of mutual fund holdings," Journal of Empirical Finance, Elsevier, vol. 85(C).
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