Is Macroeconomic Announcement News Priced?
暂无分享,去创建一个
[1] Stefan Nagel,et al. A Skeptical Appraisal of Asset-Pricing Tests , 2006 .
[2] K. Booth. No news is good news--or is it? , 1991, Australian dental practice.
[3] S. Ross,et al. Economic Forces and the Stock Market , 1986 .
[4] G. Hardouvelis,et al. Macroeconomic information and stock prices , 1987 .
[5] Ravi Bansal,et al. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles , 2000 .
[6] Stephen M. Horan. The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks , 2005 .
[7] J. Lewellen. The Cross Section of Expected Stock Returns , 2014 .
[8] Norbert Funke,et al. Macroeconomic News and Stock Returns in the United States and Germany , 2002, SSRN Electronic Journal.
[9] Andrew Ang,et al. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables , 2003 .
[10] E. Elton,et al. Economic News and Bond Prices: Evidence from the U.S. Treasury Market , 2001, Journal of Financial and Quantitative Analysis.
[11] Frank T. Magiera,et al. Macroeconomic Factors Do Influence Aggregate Stock Returns , 2002 .
[12] G. William Schwert,et al. The Adjustment of Stock Prices to Information About Inflation , 1981 .
[13] Robin L. Lumsdaine,et al. Macroeconomic News and Bond Market Volatility , 1998 .
[14] Gregory G. Gocek,et al. Asset Pricing: A Tale of Two Days , 2014 .
[15] Min Wei,et al. Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? , 2005 .
[16] Jonathan H. Wright,et al. The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements , 2003 .
[17] Francis X. Diebold,et al. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets , 2006 .
[18] M. Flannery,et al. Macroeconomic Factors Do Influence Aggregate Stock Returns , 2002 .
[19] Pavel Savor,et al. How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements , 2011, Journal of Financial and Quantitative Analysis.
[20] T. Poulos,et al. NO news is good news. , 1998, Structure.
[21] L. Hansen. Large Sample Properties of Generalized Method of Moments Estimators , 1982 .
[22] W. Marquering,et al. Macroeconomic announcements and asymmetric volatility in bond returns , 2006 .
[23] R. Stambaugh,et al. Portfolio Inefficiency and the Cross-Section of Expected Returns , 1994 .
[24] E. Moench,et al. The Pre-FOMC Announcement Drift , 2013 .
[25] M. Fleming,et al. Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information , 1999 .
[26] Grant R. Mcqueen,et al. Stock Prices, News, and Business Conditions , 1990 .
[27] J. Poterba,et al. What moves stock prices? , 1988 .