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Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model

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Cited by:

  1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  2. Martin C Schmalz & Sergey Zhuk, 2019. "Revealing Downturns," Review of Financial Studies, Society for Financial Studies, vol. 32(1), pages 338-373.
  3. Qamar Farooq & Jie Hao & Xuan Liu & Di Xiao & Yunhong Hao, 2020. "Social and environmental development: Fresh concepts and soft measures towards sustainable development," Sustainable Development, John Wiley & Sons, Ltd., vol. 28(6), pages 1796-1803, November.
  4. Lundtofte, Frederik, 2008. "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
  5. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  6. Marc Poitras, 2004. "The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence," Southern Economic Journal, John Wiley & Sons, vol. 70(3), pages 549-565, January.
  7. Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7(2), pages 189-210, May.
  8. Beddock, Arthur, 2021. "Asset pricing with heterogeneous agents and non-normal return distributions," Other publications TiSEM eeaf2925-4cc0-4fe1-8008-6, Tilburg University, School of Economics and Management.
  9. Banerjee, Snehal & Green, Brett, 2015. "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, vol. 117(2), pages 398-423.
  10. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  11. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
  12. Adrian, Tobias, 2009. "Inference, arbitrage, and asset price volatility," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 49-64, January.
  13. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  14. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2015. "Modeling Credit Contagion via the Updating of Fragile Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 1960-2008.
  15. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
  16. Michal Pakos & Hui Chen, 2008. "Asset Pricing with Uncertainty About the Long Run," 2008 Meeting Papers 295, Society for Economic Dynamics.
  17. Wang, Neng, 2009. "Optimal consumption and asset allocation with unknown income growth," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 524-534, May.
  18. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
  19. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
  20. Elyès Jouini, 2023. "Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy," Management Science, INFORMS, vol. 69(7), pages 4190-4209, July.
  21. Christopher G. Lamoureux & H. Douglas Witte, 2002. "Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross," Journal of Finance, American Finance Association, vol. 57(3), pages 1479-1520, June.
  22. repec:hal:spmain:info:hdl:2441/74362fq3f99s299n07e84dlcib is not listed on IDEAS
  23. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
  24. Tiziano De Angelis & Peter Tankov & Olivier David Zerbib, 2022. "Climate Impact Investing," Carlo Alberto Notebooks 676 JEL Classification: G, Collegio Carlo Alberto.
  25. Marcelo Fernandes & Cristina M. Scherrer, 2018. "Price discovery in dual‐class shares across multiple markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 129-155, January.
  26. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
  27. Chou, De-Wai & Liu, Yi & Zantout, Zaher, 2009. "Long-term stock performance following extraordinary and special cash dividends," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 54-73, February.
  28. Paul Alagidede & Tseke Maserumule, 2018. "Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa," Working Papers 751, Economic Research Southern Africa.
  29. Roger K. Loh & René M. Stulz, 2018. "Is Sell‐Side Research More Valuable in Bad Times?," Journal of Finance, American Finance Association, vol. 73(3), pages 959-1013, June.
  30. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  31. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  32. Tolga Cenesizoglu, 2010. "The Reaction of Stock Returns to News about Fundamentals," Cahiers de recherche 1032, CIRPEE.
  33. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  34. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
  35. Suk-Joong Kim & Fari Moshirian & Eliza Wu, 2018. "Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 12, pages 391-428, World Scientific Publishing Co. Pte. Ltd..
  36. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
  37. Jacoby, Gady & Lee, Gemma & Paseka, Alexander & Wang, Yan, 2019. "Asset pricing with an imprecise information set," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 82-93.
  38. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
  39. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
  40. Stanimir Markov & Ane Tamayo, 2006. "Predictability in Financial Analyst Forecast Errors: Learning or Irrationality?," Journal of Accounting Research, Wiley Blackwell, vol. 44(4), pages 725-761, September.
  41. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
  42. Agapova, Anna & Madura, Jeff, 2016. "Market uncertainty and earnings guidance," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 97-111.
  43. Ron Bird & Krishna Reddy & Danny Yeung, 2014. "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 113-132.
  44. Dakhlaoui, Imen & Aloui, Chaker, 2016. "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, vol. 146(C), pages 141-157.
  45. Veldkamp, Laura, 2006. "Uncertainty, policy ineffectiveness and long stagnation of the macroeconomy," Japan and the World Economy, Elsevier, vol. 18(3), pages 273-277, August.
  46. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  47. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
  48. Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
  49. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
  50. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  51. David Johnstone, 2017. "When are investment projects in the same risk class?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(2), pages 499-510, June.
  52. Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
  53. Walid Ben Omrane & Robert Welch & Xinyao Zhou, 2020. "The dynamic effect of macroeconomic news on the euro/US dollar exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 84-103, January.
  54. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
  55. Filbien, Jean-Yves & Labondance, Fabien, 2013. "Do financial markets learn from ECB monetary policy?," Economics Letters, Elsevier, vol. 120(2), pages 271-275.
  56. K. G. Suresh & Aviral Kumar Tiwari, 2018. "Does international tourism affect international trade and economic growth? The Indian experience," Empirical Economics, Springer, vol. 54(3), pages 945-957, May.
  57. Marcello Pericoli & Giovanni Veronese, 2015. "Forecaster heterogeneity, surprises and financial markets," Temi di discussione (Economic working papers) 1020, Bank of Italy, Economic Research and International Relations Area.
  58. Milan Bouchet Valat & Paul Hubert & Mathilde Le Moigne & Yaovi Sélom Agbetonyo & Emmanuelle Fromont & Jean-Laurent Viviani & Antoine Parent & Mathilde Guergoat-Larivière & Séverine Lemière, 2018. "Varia," Sciences Po publications info:hdl:2441/7l10qorvrv8, Sciences Po.
  59. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  60. Xiaotong Wang & Heng-fu Zou, 2008. "Stock Return Dynamics under Earnings Management," CEMA Working Papers 331, China Economics and Management Academy, Central University of Finance and Economics.
  61. Ehrmann, Michael & Fratzscher, Marcel, 2005. "Exchange rates and fundamentals: new evidence from real-time data," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 317-341, March.
  62. Ender Su & John Bilson, 2011. "Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3891-3905.
  63. Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
  64. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
  65. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  66. Payzan-LeNestour, Elise & Pradier, Lionnel & Putniņš, Tālis J., 2023. "Biased risk perceptions: Evidence from the laboratory and financial markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
  67. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
  68. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  69. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
  70. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
  71. Grigaliuniene, Zana & Celov, Dmitrij & Hartwell, Christopher A., 2020. "The more the Merrier? The reaction of euro area stock markets to new members," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
  72. Kallberg, Jarl & Liu, Crocker H. & Pasquariello, Paolo, 2008. "Updating expectations: An analysis of post-9/11 returns," Journal of Financial Markets, Elsevier, vol. 11(4), pages 400-432, November.
  73. Hanaan Yaseen & Ruxandra Trifan, 2019. "The Impact of Dividend Events on Stock Returns: Findings on Companies Listed on the Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 11(2), pages 59-78, December.
  74. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
  75. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
  76. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  77. Dongho Song & Jenny Tang, 2023. "News-Driven Uncertainty Fluctuations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 968-982, July.
  78. Boudt, Kris & Thewissen, James & Torsin, Wouter, 2018. "When does the tone of earnings press releases matter?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 231-245.
  79. John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, April.
  80. Teo, Melvyn & Woo, Sung-Jun, 2004. "Style effects in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 74(2), pages 367-398, November.
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  82. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
  83. Alessi, Lucia & Balduzzi, Pierluigi & Savona, Roberto, 2019. "Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data," Working Papers 2019-03, Joint Research Centre, European Commission.
  84. María de la O & Francisco JAREÑO, Francisco & SKINNER, Frank S., 2017. "The Financial Crisis Impact: An Industry Level Analysis Of The Us Stock Market González," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 17(2), pages 61-74.
  85. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
  86. Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
  87. Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.
  88. Sie Ting Lau & Lilian Ng & Bohui Zhang, 2012. "Information Environment and Equity Risk Premium Volatility Around the World," Management Science, INFORMS, vol. 58(7), pages 1322-1340, July.
  89. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
  90. Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
  91. Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
  92. Karan Bhanot & Natasha Burns & Delroy Hunter & Michael Williams, 2013. "News Spillovers from the Greek Debt Crisis: Impact on the Eurozone Financial Sector," Working Papers 0176fin, College of Business, University of Texas at San Antonio.
  93. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  94. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 305-318.
  95. Herve Roche, 2004. "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings 79, Econometric Society.
  96. Meredith J. Beechey & Jonathan H. Wright, 2007. "Rounding and the impact of news: a simple test of market rationality," Finance and Economics Discussion Series 2007-05, Board of Governors of the Federal Reserve System (U.S.).
  97. Tong, Chen & Huang, Zhuo & Wang, Tianyi & Zhang, Cong, 2023. "The effects of economic uncertainty on financial volatility: A comprehensive investigation," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 369-389.
  98. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
  99. Corbet, Shaen & McMullan, Caroline, 2018. "Stock market reaction to irregular supermarket chain behaviour: An investigation in the retail sectors of Ireland and the United Kingdom," Journal of Retailing and Consumer Services, Elsevier, vol. 43(C), pages 20-29.
  100. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  101. Pan, Wei-Fong, 2018. "Does the stock market really cause unemployment? A cross-country analysis," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 34-43.
  102. Van Nieuwerburgh, Stijn & Veldkamp, Laura, 2006. "Learning asymmetries in real business cycles," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 753-772, May.
  103. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
  104. Jean-Yves Filbien & Fabien Labondance, 2012. "Reactions Des Marches D’Actions De La Zone Euro Aux Annonces Non Anticipees De La Bce," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(2), pages 179-204.
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  106. Larry G. Epstein & Martin Schneider, 2008. "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
  107. Cosmin Ilut, 2012. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 33-65, July.
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  110. Andras Lengyel & Massimo Giuliodori, 2022. "Demand Shocks for Public Debt in the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1997-2028, October.
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  115. Jonathan Dark, 2021. "The lead of oil price rises on US equity market beliefs and preferences," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1861-1887, November.
  116. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
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  121. Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
  122. Shuyu Zhang & Walter Aerts & Dunli Zhang & Zishan Chen, 2022. "Positive tone and initial coin offering," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2237-2266, June.
  123. Narayan, Paresh Kumar & Bannigidadmath, Deepa & Narayan, Seema, 2021. "How much does economic news influence bilateral exchange rates?," Journal of International Money and Finance, Elsevier, vol. 115(C).
  124. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.
  125. Xiaotong Wang, 2005. "Stock Return Dynamics Under Earnings Management," Yale School of Management Working Papers amz2633, Yale School of Management, revised 01 Jul 2006.
  126. Brevik, Frode & d’Addona, Stefano, 2010. "Information Quality and Stock Returns Revisited," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1419-1446, December.
  127. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
  128. Xiaotong Wang, 2005. "Stock Return Dynamics Under Earnings Management," Yale School of Management Working Papers amz2633, Yale School of Management, revised 01 Jul 2006.
  129. Zegadło, Piotr, 2022. "Identifying bull and bear market regimes with a robust rule-based method," Research in International Business and Finance, Elsevier, vol. 60(C).
  130. Ólan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," The Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March.
  131. Pietro Alessandrini & Òscar Jordà & Fabrizio Venditti, 2023. "Decomposing the Monetary Policy Multiplier," Working Paper Series 2023-14, Federal Reserve Bank of San Francisco.
  132. Tom Berglund & P. Joakim Westerholm, 2010. "Foreign Investors' Reaction to Lower Profitability – The Role of Information Asymmetry," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 455-483, December.
  133. Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
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