Clara Vega
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?,"
Center for Financial Institutions Working Papers
02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
Mentioned in:
- Trading on Leaked Macroeconomic Data
by noreply@blogger.com (Carola) in Quantitative Ease on 2015-07-08 22:14:00 - 'Trading on Leaked Macroeconomic Data'
by Mark Thoma in Economist's View on 2015-07-08 15:39:09
- Paolo Pasquariello & Clara Vega, 2006.
"Informed and strategic order flow in the bond markets,"
International Finance Discussion Papers
874, Board of Governors of the Federal Reserve System (U.S.).
- Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
Mentioned in:
- Information publique, bulle spéculative et le rôle des médias
by contact@captaineconomics.fr (Le Captain') in Captain Economics on 2013-01-21 23:22:47
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
Mentioned in:
Working papers
- Benjamin Gardner & Chiara Scotti & Clara Vega, 2021.
"Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements,"
Finance and Economics Discussion Series
2021-074, Board of Governors of the Federal Reserve System (U.S.).
- Gardner, Ben & Scotti, Chiara & Vega, Clara, 2022. "Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements," Journal of Econometrics, Elsevier, vol. 231(2), pages 387-409.
Cited by:
- Eric Fischer & Rebecca McCaughrin & Saketh Prazad & Mark Vandergon, 2023. "Fed Transparency and Policy Expectation Errors: A Text Analysis Approach," Staff Reports 1081, Federal Reserve Bank of New York.
- Pawel Baranowski & Hamza Bennani & Wirginia Doryń, 2023.
"Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers,"
Post-Print
hal-04145785, HAL.
- Baranowski, Pawel & Bennani, Hamza & Doryń, Wirginia, 2023. "Stock price reaction to ECB communication: Introductory Statements vs. Questions & Answers," Finance Research Letters, Elsevier, vol. 52(C).
- Renee van Eyden & Rangan Gupta & Joshua Nielsen & Elie Bouri, 2022.
"Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries,"
Working Papers
202256, University of Pretoria, Department of Economics.
- van Eyden, Reneé & Gupta, Rangan & Nielsen, Joshua & Bouri, Elie, 2023. "Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Christoph E. Boehm & Niklas Kroner, 2023.
"The US, Economic News, and the Global Financial Cycle,"
International Finance Discussion Papers
1371, Board of Governors of the Federal Reserve System (U.S.).
- Christoph E. Boehm & T. Niklas Kroner, 2020. "The US, Economic News, and the Global Financial Cycle," Working Papers 677, Research Seminar in International Economics, University of Michigan.
- Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
- Fiorella De Fiore & Alexis Maurin & Andrej Mijakovic & Damiano Sandri, 2024. "Monetary policy in the news: communication pass-through and inflation expectations," BIS Working Papers 1231, Bank for International Settlements.
- Niţoi, Mihai & Pochea, Maria-Miruna & Radu, Ştefan-Constantin, 2023. "Unveiling the sentiment behind central bank narratives: A novel deep learning index," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Bennett Schmanski & Chiara Scotti & Clara Vega, 2023. "Fed Communication, News, Twitter, and Echo Chambers," Finance and Economics Discussion Series 2023-036, Board of Governors of the Federal Reserve System (U.S.).
- Neugebauer, Frederik & Russnak, Jan & Zimmermann, Lilli & Camarero Garcia, Sebastian, 2024.
"Effects of the ECB’s communication on government bond spreads,"
Journal of International Money and Finance, Elsevier, vol. 142(C).
- Camarero Garcia, Sebastian & Neugebauer, Frederik & Russnak, Jan & Zimmermann, Lilli, 2023. "Effects of the ECB's communication on government bond spreads," Discussion Papers 21/2023, Deutsche Bundesbank.
- Ilias Filippou & James Mitchell & My T. Nguyen, 2023. "The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?," Working Papers 23-20, Federal Reserve Bank of Cleveland.
- Christian Conrad & Julius Theodor Schoelkopf & Nikoleta Tushteva, 2023.
"Long-Term Volatility Shapes the Stock Market’s Sensitivity to News,"
Working Paper series
23-16, Rimini Centre for Economic Analysis.
- Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023. "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers 0739, University of Heidelberg, Department of Economics.
- Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
- Massimiliano Marcellino & Dalibor Stevanovic, 2022.
"The demand and supply of information about inflation,"
CIRANO Working Papers
2022s-27, CIRANO.
- Massimiliano Marcellino & Dalibor Stevanovic, 2022. "The demand and supply of information about inflation," Working Papers 22-06, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2022.
- Ge Gao & Alex Nikolsko-Rzhevskyy & Oleksandr Talavera, 2023.
"Can Central Banks Be Heard Over the Sound of Gunfire?,"
Discussion Papers
23-09, Department of Economics, University of Birmingham.
- Ge Gao & Alex Nikolsko‐Rzhevskyy & Oleksandr Talavera, 2023. "Can central banks be heard over the sound of gunfire?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 183-203, December.
- Gambacorta, Leonardo & Polizzi, Salvatore & Reghezza, Alessio & Scannella, Enzo, 2023.
"Do banks practice what they preach? Brown lending and environmental disclosure in the euro area,"
CEPR Discussion Papers
18623, C.E.P.R. Discussion Papers.
- Gambacorta, Leonardo & Polizzi, Salvatore & Reghezza, Alessio & Scannella, Enzo, 2023. "Do banks practice what they preach? Brown lending and environmental disclosure in the euro area," Working Paper Series 2872, European Central Bank.
- Leonardo Gambacorta & Salvatore Polizzi & Alessio Reghezza & Enzo Scannella, 2023. "Do banks practice what they preach? Brown lending and environmental disclosure in the euro area," BIS Working Papers 1143, Bank for International Settlements.
- J. Daniel Aromí & Martín Llada, 2024. "Are professional forecasters inattentive to public discussions? The case of inflation in Argentina," Working Papers 300, Red Nacional de Investigadores en Economía (RedNIE).
- Philip N. Jefferson, 2024. "Communicating about Monetary Policy: A speech at Central Bank Communications: Theory and Practice,” a conference hosted by the Federal Reserve Bank of Cleveland, Cleveland, Ohio., May 13, 2024," Speech 98225, Board of Governors of the Federal Reserve System (U.S.).
- Etienne Briand & Massimiliano Marcellino & Dalibor Stevanovic, 2024. "Inflation, Attention and Expectations," Working Papers 24-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Dec 2024.
- Spandan Banerjee & Rajendra N. Paramanik & Rounak Sil & Unninarayanan Kurup, 2024. "When all speak, should we listen? A cross‐country analysis of disagreement in policymaking and its implications," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 53(2), July.
- Qiu, Yue & Xie, Tian & Xie, Wenjing & Zheng, Xiangzhong, 2023. "Federal policy announcements and capital reallocation: Insights from inflow and outflow trends in the U.S," Journal of International Money and Finance, Elsevier, vol. 139(C).
- Etienne Briand & Massimiliano Marcellino & Dalibor Stevanovic, 2025. "Inflation, Attention and Expectations," CIRANO Working Papers 2025s-01, CIRANO.
- Gómez-Cram, Roberto & Grotteria, Marco, 2022. "Real-time price discovery via verbal communication: Method and application to Fedspeak," Journal of Financial Economics, Elsevier, vol. 143(3), pages 993-1025.
- Antón Sarabia Arturo & Bazdresch Santiago & Lelo-de-Larrea Alejandra, 2023. "The Influence of Central Bank's Projections and Economic Narrative on Professional Forecasters' Expectations: Evidence from Mexico," Working Papers 2023-21, Banco de México.
- Cem Çakmakli & Selva Demi̇ralp & Gökhan Şahi̇n Güneş, 2024. "Do Financial Markets Respond to Populist Rhetoric?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 541-567, June.
- Dimitris Anastasiou & Apostolos Katsafados, 2023. "Bank deposits and textual sentiment: When an European Central Bank president's speech is not just a speech," Manchester School, University of Manchester, vol. 91(1), pages 55-87, January.
- Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016.
"Counterparty Risk and Counterparty Choice in the Credit Default Swap Market,"
Finance and Economics Discussion Series
2016-087, Board of Governors of the Federal Reserve System (U.S.).
- Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2024. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Management Science, INFORMS, vol. 70(6), pages 3808-3826, June.
Cited by:
- Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019.
"Benchmark Interest Rates When the Government is Risky,"
NBER Working Papers
26429, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, C.E.P.R. Discussion Papers.
- Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
- Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018.
"OTC Premia,"
Working Papers on Finance
1818, University of St. Gallen, School of Finance, revised May 2019.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2020. "OTC premia," Journal of Financial Economics, Elsevier, vol. 136(1), pages 86-105.
- Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky Sherman, Mila, 2019.
"Pitfalls of central clearing in the presence of systematic risk,"
SAFE Working Paper Series
235, Leibniz Institute for Financial Research SAFE, revised 2019.
- Kubitza, Christian & Pelizzon, Loriana & Getmansky, Mila, 2018. "The pitfalls of central clearing in the presence of systematic risk," ICIR Working Paper Series 31/18, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Bellia, Mario & Girardi, Giulio & Panzica, Roberto Calogero & Pelizzon, Loriana & Peltonen, Tuomo, 2022.
"The demand for central clearing: To clear or not to clear, that is the question,"
SAFE Working Paper Series
193, Leibniz Institute for Financial Research SAFE, revised 2022.
- Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017. "The demand for central clearing: to clear or not to clear, that is the question," ESRB Working Paper Series 62, European Systemic Risk Board.
- Bellia, Mario & Girardi, Giulio & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas, 2024. "The demand for central clearing: To clear or not to clear, that is the question!," Journal of Financial Stability, Elsevier, vol. 72(C).
- Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2019.
"Regulatory effects on short-term interest rates,"
Bank of England working papers
801, Bank of England.
- Ranaldo, Angelo & Schaffner, Patrick & Vasios, Michalis, 2021. "Regulatory effects on short-term interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 750-770.
- Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
- Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
- Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019. "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, vol. 131(1), pages 168-185.
- Hattori, Takahiro, 2018. "Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis," Journal of Asian Economics, Elsevier, vol. 59(C), pages 16-28.
- Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015.
"Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?,"
Finance and Economics Discussion Series
2015-46, Board of Governors of the Federal Reserve System (U.S.).
- Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
- Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2016. "Is the intrinsic value of macroeconomic news announcements related to their asset price impact?," Working Paper Series 1882, European Central Bank.
Cited by:
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
- Michael Ehrmann & Jonathan Talmi, 2016.
"Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility,"
Staff Working Papers
16-37, Bank of Canada.
- Ehrmann, Michael & Talmi, Jonathan, 2017. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Working Paper Series 2023, European Central Bank.
- Ehrmann, Michael & Talmi, Jonathan, 2020. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Journal of Monetary Economics, Elsevier, vol. 111(C), pages 48-62.
- Frankel, Jeffrey & Saiki, Ayako, 2016.
"Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?,"
Working Paper Series
16-011, Harvard University, John F. Kennedy School of Government.
- Jeffrey A. Frankel & Ayako Saiki, 2017. "Does It Matter If Statistical Agencies Frame the Month’s CPI Reporton a 1-Month or 12-month Basis?," NBER Working Papers 23754, National Bureau of Economic Research, Inc.
- Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
- Michael Weber & Andreas Neuhierl, 2017.
"Monetary Policy and the Stock Market: Time Series Evidence,"
2017 Meeting Papers
304, Society for Economic Dynamics.
- Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
- Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
- Chiara Scotti, 2013.
"Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises,"
International Finance Discussion Papers
1093, Board of Governors of the Federal Reserve System (U.S.).
- Scotti, Chiara, 2016. "Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 1-19.
- Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020. "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 386-411.
- Kočenda, Evžen & Moravcová, Michala, 2018.
"Intraday effect of news on emerging European forex markets: An event study analysis,"
Economic Systems, Elsevier, vol. 42(4), pages 597-615.
- Evžen Kocenda & Michala Moravcová, 2018. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," CESifo Working Paper Series 7239, CESifo.
- Evzen Kocenda & Michala Moravcova, 2016. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," Working Papers IES 2016/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
- Christoffer Koch & Julieta Yung, 2016. "Macroeconomic news and asset prices before and after the zero lower bound," Globalization Institute Working Papers 287, Federal Reserve Bank of Dallas.
- Adrian Cantemir CĂLIN & Radu LUPU, 2016. "The Effects Of Labor Market News On International Financial Markets," Romanian Economic Business Review, Romanian-American University, vol. 11(2), pages 207-215, June.
- Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2015.
"Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR,"
Working Papers
2015-030, Federal Reserve Bank of St. Louis, revised 10 Apr 2020.
- Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2021. "Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-41, December.
- Strasser, Georg & Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2016.
"Price drift before U.S. macroeconomic news: private information about public announcements?,"
Working Paper Series
1901, European Central Bank.
- Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.
- Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
- Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
- Tseke Maserumule & Paul Alagidede, 2017. "Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 405-429, September.
- John B. Broughton & Bento J. Lobo, 2018. "Herding and anchoring in macroeconomic forecasts: the case of the PMI," Empirical Economics, Springer, vol. 55(3), pages 1337-1355, November.
- Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
- Ben Omrane, Walid & Savaşer, Tanseli, 2017. "Exchange rate volatility response to macroeconomic news during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 130-143.
- Paul Alagidede & Tseke Maserumule, 2018. "Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa," Working Papers 751, Economic Research Southern Africa.
- Strasser, Georg, 2017. "What determines the impact of macroeconomic news on asset markets?," Research Bulletin, European Central Bank, vol. 37.
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2009.
"Rise of the machines: algorithmic trading in the foreign exchange market,"
International Finance Discussion Papers
980, Board of Governors of the Federal Reserve System (U.S.).
- Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014. "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
Cited by:
- Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
- Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
- Rod Cross & Victor Kozyakin, 2014.
"Fact and fictions in FX arbitrage processes,"
Working Papers
1403, University of Strathclyde Business School, Department of Economics.
- Cross, Rod & Kozyakin, Victor, 2012. "Fact And Fiction In FX Arbitrage Processes," SIRE Discussion Papers 2012-86, Scottish Institute for Research in Economics (SIRE).
- Rod Cross & Victor Kozyakin, 2012. "Fact and Fiction in FX Arbitrage Processes," Working Papers 1211, University of Strathclyde Business School, Department of Economics.
- Cross, Rod & Kozyakin, Victor, 2014. "Fact And Fictions In FX Arbitrage Processes," SIRE Discussion Papers 2014-003, Scottish Institute for Research in Economics (SIRE).
- Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
- Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
- Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," LSE Research Online Documents on Economics 124228, London School of Economics and Political Science, LSE Library.
- Alex Frino & Michael Garcia & Zeyang Zhou, 2020. "Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 749-760, May.
- Bizzozero, Paolo & Flepp, Raphael & Franck, Egon, 2018. "The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange," Journal of Economic Behavior & Organization, Elsevier, vol. 156(C), pages 126-143.
- Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
- Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
- John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
- Cécile Bastidon & Fredj Jawadi, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Post-Print
hal-04478721, HAL.
- Bastidon, Cécile & Jawadi, Fredj, 2024. "Trade fragmentation and volatility-of-volatility networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang, 2022. "Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 861-882, October.
- Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
- Keiichi Goshima & Yusuke Kumano, 2018. "Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market," IMES Discussion Paper Series 18-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015.
"Measuring sovereign contagion in Europe,"
SAFE Working Paper Series
103, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
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"The Response of European Energy Prices to ECB Monetary Policy,"
ETA: Economic Theory and Applications
269537, Fondazione Eni Enrico Mattei (FEEM).
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Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2974-2984, June.
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The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
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The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
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Cambridge Working Papers in Economics
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International Finance Discussion Papers
1013, Board of Governors of the Federal Reserve System (U.S.).
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The Energy Journal, , vol. 39(2_suppl), pages 117-137, December.
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MPRA Paper
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"What matters for consumer sentiment? World oil price or retail gasoline price?,"
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1914, Federal Reserve Bank of Dallas.
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- Lutz Kilian & Xiaoqing Zhou, 2019. "Oil prices, exchange rates, and interest rates," 2019 Meeting Papers 592, Society for Economic Dynamics.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011.
"Forecasting the price of oil,"
International Finance Discussion Papers
1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
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- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01386096, HAL.
- M. Joëts & V. Mignon & T. Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty ?," Working papers 607, Banque de France.
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CESifo Working Paper Series
9455, CESifo.
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"Do oil price increases cause higher food prices? [Biofuels, binding constraints, and agricultural commodity price volatility],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(80), pages 691-747.
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- Lutz Kilian & Xiaoqing Zhou, 2020. "Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts," Working Papers 2025, Federal Reserve Bank of Dallas.
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"How do treasury dealers manage their positions?,"
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299, Federal Reserve Bank of New York.
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Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
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"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,"
Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
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- Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series WP-06-15, Federal Reserve Bank of Chicago.
- Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
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"Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News,"
Working Papers
400, Economic Research Forum, revised 03 Jan 2008.
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- Fatih Ozatay & Erdal Ozmen & Gülbin Sahinbeyoglu, 2007. "Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News," ERC Working Papers 0707, ERC - Economic Research Center, Middle East Technical University, revised Dec 2007.
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"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.
- Jon Faust & John H. Rogers & Shing-Yi Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2006.
"Global financial transmission of monetary policy shocks,"
Working Paper Series
616, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
- Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series 1710, CESifo.
- Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
- Francis X. Diebold & Kamil Yilmaz, 2008.
"Macroeconomic Volatility and Stock Market Volatility, World-Wide,"
PIER Working Paper Archive
08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers 0711, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc.
- Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
- Enzo Weber, 2010.
"Volatility and causality in Asia Pacific financial markets,"
Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
- Weber, Enzo, 2007. "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers 2007-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Tauchen, George & Zhou, Hao, 2011.
"Realized jumps on financial markets and predicting credit spreads,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
- George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
- Jon Wongswan, 2005.
"The response of global equity indexes to U.S. monetary policy announcements,"
International Finance Discussion Papers
844, Board of Governors of the Federal Reserve System (U.S.).
- Wongswan, Jon, 2009. "The response of global equity indexes to U.S. monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
- Paolo Pasquariello & Clara Vega, 2007.
"Informed and Strategic Order Flow in the Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
- Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.).
- Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers 31, Department of Economics, College of William and Mary.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
- Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
- Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.
- Patrice T. Robitaille & Jennifer E. Roush, 2006. "How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?," International Finance Discussion Papers 868, Board of Governors of the Federal Reserve System (U.S.).
- Savaser, Tanseli, 2011.
"Exchange rate response to macronews: Through the lens of microstructure,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
- Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005.
"Practical volatility and correlation modeling for financial market risk management,"
CFS Working Paper Series
2005/02, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-544, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
- Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
- Bent Jesper Christensen & Morten Ø. Nielsen, 2005. "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper 1186, Economics Department, Queen's University.
- Gourieroux, C. & Monfort, A. & Sufana, R., 2010.
"International money and stock market contingent claims,"
Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
- Massimo Guidolin & Allan Timmerman, 2005.
"An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns,"
Working Papers
2005-003, Federal Reserve Bank of St. Louis.
- Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
- Massimo Guidolin & Allan Timmermann, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22, January.
- Weihua Shi & Larry Eisenberg & Cheng-few Lee, 2009. "Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 63-85.
- Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
- George Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.
- Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
- Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
- Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany.
- Alessandro Beber & Michael W. Brandt, 2009.
"Resolving Macroeconomic Uncertainty in Stock and Bond Markets,"
Review of Finance, European Finance Association, vol. 13(1), pages 1-45.
- Alessandro Beber & Michael W. Brandt, 2006. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," NBER Working Papers 12270, National Bureau of Economic Research, Inc.
- Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
- Jon Faust & Jonathan H. Wright, 2008.
"Efficient Prediction of Excess Returns,"
NBER Working Papers
14169, National Bureau of Economic Research, Inc.
- Jon Faust & Jonathan H. Wright, 2011. "Efficient Prediction of Excess Returns," The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 647-659, May.
- Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
- Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 470-493, October.
- Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(2), pages 283-300, June.
- Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
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- Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank.
- Alexandr Èerný & Michal Koblas, 2008.
"Stock Market Integration and the Speed of Information Transmission,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
- Alexandr Cerny, 2004. "Stock market integration and the speed of information transmission," CERGE-EI Working Papers wp242, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Gregory H. Bauer & Clara Vega, 2006.
"The monetary origins of asymmetric information in international equity markets,"
International Finance Discussion Papers
872, Board of Governors of the Federal Reserve System (U.S.).
- Gregory Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Staff Working Papers 04-47, Bank of Canada.
- Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
- Lindner, Axel, 2008. "Evaluating communication strategies for public agencies: transparency, opacity, and secrecy," IWH Discussion Papers 8/2008, Halle Institute for Economic Research (IWH).
- Gregory Bauer & Clara Vega, 2004.
"The Monetary Origins of Asymmetric Information in International Equity Markets,"
Staff Working Papers
04-47, Bank of Canada.
- Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Oreste Napolitano, 2009.
"Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?,"
STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
- Oreste Napolitano, 2006. "Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?," Discussion Papers 1_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Oreste Napolitano, 2006. "Is The Impact Of Ecb Monetary Policy On Emu Stock Market Returns Asymmetric?," Working Papers 3_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006.
"Marketwide Private Information in Stocks: Forecasting Currency Returns,"
CEPR Discussion Papers
5604, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008. "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, vol. 63(5), pages 2297-2343, October.
- Joshua Hausman & Jon Wongswan, 2006.
"Global asset prices and FOMC announcements,"
International Finance Discussion Papers
886, Board of Governors of the Federal Reserve System (U.S.).
- Hausman, Joshua & Wongswan, Jon, 2011. "Global asset prices and FOMC announcements," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 547-571, April.
- Marc W. Simpson & Sanjay Ramchander, 2012. "Asymmetric and cross-sectional effects of inflation on stock returns under varying monetary conditions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 285-298, February.
- Wongswan, Jon, 2009.
"The response of global equity indexes to U.S. monetary policy announcements,"
Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
- Jon Wongswan, 2005. "The response of global equity indexes to U.S. monetary policy announcements," International Finance Discussion Papers 844, Board of Governors of the Federal Reserve System (U.S.).
- David A. Becher & Gerald R. Jensen & Jeffrey M. Mercer, 2008. "Monetary Policy Indicators As Predictors Of Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(4), pages 357-379, December.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002.
"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange,"
Working Papers
02-16, Duke University, Department of Economics.
- 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.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
Cited by:
- Paul Hubert, 2009.
"Informational Advantage and Influence of Communicating Central Banks,"
Documents de Travail de l'OFCE
2009-04, Observatoire Francais des Conjonctures Economiques (OFCE).
- Paul Hubert, 2015. "Do Central Bank Forecasts Influence Private Agents? Forecasting Performance versus Signals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(4), pages 771-789, June.
- Paul Hubert, 2011. "Do central banks forecast influence private agents ? Forecasting performance vs. signals," Documents de Travail de l'OFCE 2011-20, Observatoire Francais des Conjonctures Economiques (OFCE).
- Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006.
"Forecasting stock market volatility with macroeconomic variables in real time,"
Discussion Paper Series 2: Banking and Financial Studies
2006,01, Deutsche Bundesbank.
- Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
- King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
- Paolo Pagnottoni & Thomas Dimpfl, 2019.
"Price discovery on Bitcoin markets,"
Digital Finance, Springer, vol. 1(1), pages 139-161, November.
- Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018. "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers 2018-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Vieira Marques Da Costa, Rui & Dhingra, Swati & Machin, Stephen, 2022.
"New dawn fades: trade, labour and the Brexit exchange rate depreciation,"
LSE Research Online Documents on Economics
118043, London School of Economics and Political Science, LSE Library.
- Vieira Marques Da Costa, Rui & Dhingra, Swati & Machin, Stephen, 2024. "New dawn fades: trade, labour and the Brexit exchange rate depreciation," LSE Research Online Documents on Economics 124542, London School of Economics and Political Science, LSE Library.
- Rui Costa & Swati Dhingra & Stephen Machin, 2022. "New dawn fades: Trade, labour and the Brexit exchange rate depreciation," CEP Discussion Papers dp1890, Centre for Economic Performance, LSE.
- Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
- Balázs Égert & Evžen Kočenda, 2014.
"The impact of macro news and central bank communication on emerging European forex markets,"
Post-Print
hal-01385932, HAL.
- Balázs Égert & Evžen Kočenda, 2012. "The impact of macro news and central bank communication on emerging European forex markets," EconomiX Working Papers 2012-20, University of Paris Nanterre, EconomiX.
- Balázs Egert & Evžen Kočenda, 2012. "The impact of macro news and central bank communication on emerging European forex markets," Working Papers hal-04141076, HAL.
- Égert, Balázs & Kočenda, Evžen, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Economic Systems, Elsevier, vol. 38(1), pages 73-88.
- Balazs Egert & Evžen Kocenda, 2013. "The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets," CESifo Working Paper Series 4288, CESifo.
- Mykola Pinchuk, 2023. "Bitcoin Does Not Hedge Inflation," Papers 2301.10117, arXiv.org.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
- Paul Hubert & Becky Maule, 2016.
"Policy and Macro Signals as Inputs to Inflation Expectation Formation,"
Working Papers
hal-03459462, HAL.
- Hubert, Paul & Maule, Becky, 2016. "Policy and macro signals as inputs to inflation expectation formation," Bank of England working papers 581, Bank of England.
- Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Documents de Travail de l'OFCE 2016-02, Observatoire Francais des Conjonctures Economiques (OFCE).
- Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," SciencePo Working papers Main hal-03459462, HAL.
- Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros, 2012.
"Short-run forecasting of the euro-dollar exchange rate with economic fundamentals,"
Working Papers
1203, Banco de España.
- Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
- Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
- Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
- Tolga Cenesizoglu, 2010. "The Reaction of Stock Returns to News about Fundamentals," Cahiers de recherche 1032, CIRPEE.
- Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010.
"Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates,"
Globalization Institute Working Papers
49, Federal Reserve Bank of Dallas.
- Fatum, Rasmus & Hutchison, Michael & Wu, Thomas, 2012. "Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 542-560.
- Khademalomoom, Siroos & Narayan, Paresh Kumar, 2020. "Intraday-of-the-week effects: What do the exchange rate data tell us?," Emerging Markets Review, Elsevier, vol. 43(C).
- Leone, Vitor & Kwabi, Frank, 2019. "High frequency trading, price discovery and market efficiency in the FTSE100," Economics Letters, Elsevier, vol. 181(C), pages 174-177.
- Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics and Public Policy Working Papers 2011-26, University of Adelaide, School of Economics and Public Policy.
- Martin D. D. Evans & Richard K. Lyons, 2017.
"Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 11, pages 457-475,
World Scientific Publishing Co. Pte. Ltd..
- Martin D.D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," NBER Working Papers 11042, National Bureau of Economic Research, Inc.
- Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers gueconwpa~05-05-01, Georgetown University, Department of Economics.
- Martin D. D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, vol. 95(2), pages 405-414, May.
- Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Marcel Fratzscher & Arnaud Mehl, 2009.
"Do China and oil exporters influence major currency configurations?,"
Globalization Institute Working Papers
25, Federal Reserve Bank of Dallas.
- Fratzscher, Marcel & Mehl, Arnaud, 2009. "Do China and oil exporters influence major currency configurations?," Journal of Comparative Economics, Elsevier, vol. 37(3), pages 335-358, September.
- Fratzscher, Marcel & Mehl, Arnaud, 2008. "Do China and oil exporters influence major currency configurations?," Working Paper Series 973, European Central Bank.
- Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
- Rasmus Fatum & Jesper Pedersen, 2007.
"Real-Time Effects of Central Bank Interventions in the Euro Market,"
EPRU Working Paper Series
07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Fatum, Rasmus & Pedersen, Jesper, 2009. "Real-time effects of central bank intervention in the euro market," Journal of International Economics, Elsevier, vol. 78(1), pages 11-20, June.
- Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013.
"Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data,"
Working Papers
2013-27, Department of Research, Ipag Business School.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
- Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
- Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
- Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
- Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
- Lucio Sarno & Giorgio Valente, 2009.
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"The International Dimension Of Productivity And Demand Shocks In The Us Economy,"
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- Marek Sojka, 2021. "PEAD na polskim rynku akcji," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 143-166.
- Baolei Qi & Rong Yang & Gaoliang Tian, 2014. "Can media deter management from manipulating earnings? Evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 571-597, April.
- Pérez-Rodríguez, Jorge V. & Sosvilla-Rivero, Simón & Andrada-Felix, Julián & Gómez-Déniz, Emilio, 2022. "Searching for informed traders in stock markets: The case of Banco Popular," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Khurshid Ahmad & JingGuang Han & Elaine Hutson & Colm Kearney & Sha Liu, 2016.
"Media-expressed negative tone and firm-level stock returns,"
Open Access publications
10197/8208, Research Repository, University College Dublin.
- Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016. "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
- Lili Dai & Jerry T. Parwada & Donald W. Winchester & Bohui Zhang, 2022. "The more we know, the less we agree: A test of the trading horizon heterogeneity theory," The Financial Review, Eastern Finance Association, vol. 57(1), pages 45-67, February.
- Rong Gong, 2023. "CEO overconfidence and the tone of press release," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2081-2108, June.
- Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
- Jiang, George J. & Zhu, Kevin X., 2017. "Information Shocks and Short-Term Market Underreaction," Journal of Financial Economics, Elsevier, vol. 124(1), pages 43-64.
- Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
- Kubota, Keiichi & Takehara, Hitoshi, 2009. "Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 319-337, June.
- Adrian Cantemir CĂLIN & Radu LUPU, 2016. "The Effects Of Labor Market News On International Financial Markets," Romanian Economic Business Review, Romanian-American University, vol. 11(2), pages 207-215, June.
- Masahiro Yamada & Takatoshi Ito, 2020. "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements," NBER Working Papers 27036, National Bureau of Economic Research, Inc.
- Michael J. Brennan & Sahn-Wook Huh & Avanidhar Subrahmanyam, 2016. "Asymmetric Effects of Informed Trading on the Cost of Equity Capital," Management Science, INFORMS, vol. 62(9), pages 2460-2480, September.
- Duarte, Jefferson & Young, Lance, 2009. "Why is PIN priced?," Journal of Financial Economics, Elsevier, vol. 91(2), pages 119-138, February.
- Blaufus, Kay & Möhlmann, Axel & Schwäbe, Alexander, 2016. "Corporate tax minimization and stock price reactions," arqus Discussion Papers in Quantitative Tax Research 204, arqus - Arbeitskreis Quantitative Steuerlehre.
- Juan Jose Cruces & Enrique L. Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America: A Sequential Trade Model Approach," Working Papers 86, Universidad de San Andres, Departamento de Economia, revised Dec 2005.
- Minkwan Ahn & Michael Drake & Hangsoo Kyung & Han Stice, 2019. "The role of the business press in the pricing of analysts’ recommendation revisions," Review of Accounting Studies, Springer, vol. 24(1), pages 341-392, March.
- Lucian A. Bebchuk & Alon Brav & Wei Jiang & Thomas Keusch, 2019. "Dancing With Activists," NBER Working Papers 26171, National Bureau of Economic Research, Inc.
- Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006.
"Marketwide Private Information in Stocks: Forecasting Currency Returns,"
CEPR Discussion Papers
5604, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008. "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, vol. 63(5), pages 2297-2343, October.
- Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
- Ali, Ashiq & Chen, Xuanjuan & Yao, Tong & Yu, Tong, 2020. "Can mutual funds profit from post earnings announcement drift? The role of competition," Journal of Banking & Finance, Elsevier, vol. 114(C).
- Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015, January-A.
- Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012. "How are shorts informed?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 260-278.
- Lof, Matthijs & Bommel, Jos van, 2018.
"Asymmetric information and the distribution of trading volume,"
Bank of Finland Research Discussion Papers
1/2018, Bank of Finland.
- Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
- Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
- Marco Wölfle, 2015. "Information-Based Trade in German Real Estate and Equity Markets," Risks, MDPI, vol. 3(4), pages 1-26, December.
- Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
- He, Wen & Li, Donghui & Shen, Jianfeng & Zhang, Bohui, 2013. "Large foreign ownership and stock price informativeness around the world," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 211-230.
- Goldman, Eitan & Martel, Jordan & Schneemeier, Jan, 2022. "A theory of financial media," Journal of Financial Economics, Elsevier, vol. 145(1), pages 239-258.
- Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008. "Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan," Discussion Paper Series 233, Research Institute for Economics & Business Administration, Kobe University.
- Jan Hanousek & Christos Pantzalis & Jung Chul Park, 2021. "Political Insider Trading: A narrow versus comprehensive approach," MENDELU Working Papers in Business and Economics 2021-77, Mendel University in Brno, Faculty of Business and Economics.
- Frantisek Kopriva, 2008. "Source of Information-Driven Trading on the Prague Stock Exchange," CERGE-EI Working Papers wp365, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Haifeng You & Xiao‐Jun Zhang, 2011. "Limited attention and stock price drift following earnings announcements and 10‐K filings," China Finance Review International, Emerald Group Publishing Limited, vol. 1(4), pages 358-387, September.
- Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
- Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2014. "Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics," Papers 1412.3948, arXiv.org, revised Dec 2015.
- Blaufus, Kay & Möhlmann, Axel & Schwäbe, Alexander N., 2019. "Stock price reactions to news about corporate tax avoidance and evasion," Journal of Economic Psychology, Elsevier, vol. 72(C), pages 278-292.
- Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
- Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2016. "Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-14, January.
- Elizabeth Demers & Clara Vega, 2008.
"Soft information in earnings announcements: news or noise?,"
International Finance Discussion Papers
951, Board of Governors of the Federal Reserve System (U.S.).
- Elizabeth Demers & Clara Vega, 2009. "Soft Information in Earnings Announcements: News or Noise?," 2009 Meeting Papers 80, Society for Economic Dynamics.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," UTokyo Price Project Working Paper Series 055, University of Tokyo, Graduate School of Economics.
- Kang, Qiang & Liu, Qiao, 2008. "Stock trading, information production, and executive incentives," Journal of Corporate Finance, Elsevier, vol. 14(4), pages 484-498, September.
- Xiao, Yuewen & Zhao, Jing, 2021. "Price dynamics of individual stocks: Jumps and information," Finance Research Letters, Elsevier, vol. 38(C).
- Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
- Saffi, Pedro, 2008. "Differences of opinion, information and the timing of trades," IESE Research Papers D/747, IESE Business School.
- Li, Cong-Cong & Xu, Hai-Chuan & Zhou, Wei-Xing, 2020. "News coverage and portfolio returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
- Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
- Gabriele Ranco & Darko Aleksovski & Guido Caldarelli & Miha Grčar & Igor Mozetič, 2015. "The Effects of Twitter Sentiment on Stock Price Returns," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-21, September.
- Brown, Stephen & Hillegeist, Stephen A. & Lo, Kin, 2009. "The effect of earnings surprises on information asymmetry," Journal of Accounting and Economics, Elsevier, vol. 47(3), pages 208-225, June.
- Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
- Frank, Murray Z. & Sanati, Ali, 2018. "How does the stock market absorb shocks?," Journal of Financial Economics, Elsevier, vol. 129(1), pages 136-153.
- Griffin, Jim & Oberoi, Jaideep & Oduro, Samuel D., 2021. "Estimating the probability of informed trading: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Baker, H. Kent & Ni, Yang & Saadi, Samir & Zhu, Hui, 2019. "Competitive earnings news and post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 331-343.
- Cao, Xing & Zhang, Yongjie & Feng, Xu & Meng, Xiangtong, 2021. "Investor interaction and price efficiency: Evidence from social media," Finance Research Letters, Elsevier, vol. 40(C).
- Han, Bing & Huang, Xinming & Liu, Qi & Liu, Yu-Jane, 2024. "Firm visibility, liquidity, and valuation for thinly traded assets," Journal of Financial Markets, Elsevier, vol. 70(C).
- Larsen, Vegard H. & Thorsrud, Leif A., 2019. "The value of news for economic developments," Journal of Econometrics, Elsevier, vol. 210(1), pages 203-218.
- Laivi Laidroo, 2008. "Measuring Public Announcementsà Disclosure Quality on Tallinn, Riga and Vilnius Stock Exchanges," Working Papers 181, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
- Vegard H. Larsen & Leif Anders Thorsrud, 2015. "The Value of News," Working Papers No 6/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Lu, Yang-Cheng & Shen, Chung-Hua & Wei, Yu-Chen, 2013. "Revisiting early warning signals of corporate credit default using linguistic analysis," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 1-21.
- Petacchi, Reining, 2015. "Information asymmetry and capital structure: Evidence from regulation FD," Journal of Accounting and Economics, Elsevier, vol. 59(2), pages 143-162.
- Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
- Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2011. "Board structure and price informativeness," Journal of Financial Economics, Elsevier, vol. 99(3), pages 523-545, March.
- Juan Cruces & Enrique Kawamura, 2005. "Transacciones basadas en información privilegiada y conducción empresarial en América Latina," Research Department Publications 3207, Inter-American Development Bank, Research Department.
- Juan Cruces & Enrique Kawamura, 2005. "Insider Trading and Corporate Governance in Latin America," Research Department Publications 3206, Inter-American Development Bank, Research Department.
- Carey, Peter & Fang, Victor & Zhang, Hong Feng, 2016. "The role of optimistic news stories in IPO pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 16-29.
- Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
- Martineau, Charles, 2021. "Rest in Peace Post-Earnings Announcement Drift," SocArXiv z7k3p, Center for Open Science.
- Peter Koudijs, 2013. "'Those Who Know Most': Insider Trading in 18th c. Amsterdam," NBER Working Papers 18845, National Bureau of Economic Research, Inc.
- Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
- Crego, Julio A., 2020. "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, vol. 137(1), pages 72-89.
- Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.
- Thomas J Hwang, 2013. "Stock Market Returns and Clinical Trial Results of Investigational Compounds: An Event Study Analysis of Large Biopharmaceutical Companies," PLOS ONE, Public Library of Science, vol. 8(8), pages 1-8, August.
- Andrey Kudryavtsev, 2017. ""I'll Think about it Tomorrow": Price Drifts Following Large Pre-Holiday Stock Price Moves," 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. 9(2), pages 043-062, December.
- Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
- Ferreira, Daniel & Ferreira, Miguel A. & Raposo, Clara C., 2008. "Board Structure and Price Informativeness," CEI Working Paper Series 2008-4, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- Carlos Francisco Alves & Ana Luísa Nogueira Parada Ferreira e Silva, 2018. "Coverage news and companies’ stock abnormal returns," FEP Working Papers 608, Universidade do Porto, Faculdade de Economia do Porto.
- Edward A. E. Jones & Anthony K. Kyiu & Hao Li, 2021. "Earnings informativeness and trading frequency: Evidence from African markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1064-1086, January.
- Jacob Boudoukh & Ronen Feldman & Shimon Kogan & Matthew Richardson, 2013. "Which News Moves Stock Prices? A Textual Analysis," NBER Working Papers 18725, National Bureau of Economic Research, Inc.
- Anna Abdulmanova & Stephen P. Ferris & Narayanan Jayaraman & Pratik Kothari, 2021. "The effect of investor attention on fraud discovery and value loss in securities class action litigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 513-552, September.
- Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.
- Zhang, Sijia & Gregoriou, Andros, 2020. "Post earnings announcement drift, liquidity and zero leverage firms: Evidence from the UK stock market," Journal of Business Research, Elsevier, vol. 116(C), pages 13-26.
- Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
- Lu, Yang-Cheng & Wei, Yu-Chen & Chang, Tsang-Yao, 2015. "The effects and applicability of financial media reports on corporate default ratings," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 69-87.
- Xi Li & Mingyi Hung & Shiheng Wang, 2015. "Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock," HKUST IEMS Working Paper Series 2015-17, HKUST Institute for Emerging Market Studies, revised Mar 2015.
- Bernile, Gennaro & Sulaeman, Johan & Wang, Qin, 2015. "Institutional trading during a wave of corporate scandals: “Perfect Payday”?," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 191-209.
- 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.
See citations under working paper version above.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-1, University of Pennsylvania, Wharton School, Weiss Center.
Chapters
- Hedi Benamar & Thierry Foucault & Clara Vega, 2021.
"Demand for Information, Uncertainty, and the Response of US Treasury Securities to News,"
NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3403-3455,
National Bureau of Economic Research, Inc.
- Hedi Benamar & Thierry Foucault & Clara Vega, 2021. "Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News [Optimal inattention to the stock market]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3403-3455.
Cited by:
- Benjamin Gardner & Chiara Scotti & Clara Vega, 2021.
"Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements,"
Finance and Economics Discussion Series
2021-074, Board of Governors of the Federal Reserve System (U.S.).
- Gardner, Ben & Scotti, Chiara & Vega, Clara, 2022. "Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements," Journal of Econometrics, Elsevier, vol. 231(2), pages 387-409.
- Qiu, Yajie & Deschamps, Bruno & Liu, Xiaoquan, 2024. "Uncertainty and macroeconomic forecasts: Evidence from survey data," Journal of Economic Behavior & Organization, Elsevier, vol. 224(C), pages 463-480.
- Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021.
"Market-Based Monetary Policy Uncertainty,"
Working Paper Series
2019-12, Federal Reserve Bank of San Francisco.
- Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
- Michael D. Bauer & Aeimit Lakdawala & Philippe Mueller, 2019. "Market-based monetary policy uncertainty," CESifo Working Paper Series 7621, CESifo.
- Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022. "Market-Based Monetary Policy Uncertainty," The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
- Lorraine Eden & Stewart R. Miller & Sarfraz Khan & Robert J. Weiner & Dan Li, 2022. "The event study in international business research: Opportunities, challenges, and practical solutions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(5), pages 803-817, July.
- Bennett Schmanski & Chiara Scotti & Clara Vega, 2023. "Fed Communication, News, Twitter, and Echo Chambers," Finance and Economics Discussion Series 2023-036, Board of Governors of the Federal Reserve System (U.S.).
- Neilson, Jed J., 2022. "Investor information gathering and the resolution of uncertainty," Journal of Accounting and Economics, Elsevier, vol. 74(1).
- Andrei, Daniel & Friedman, Henry & Ozel, N. Bugra, 2023. "Economic uncertainty and investor attention," Journal of Financial Economics, Elsevier, vol. 149(2), pages 179-217.
- Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019.
"Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns,"
NBER Working Papers
25817, National Bureau of Economic Research, Inc.
- Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
- Hou, Yunfei & Hu, Changsheng, 2023. "Understanding the role of aggregate analyst attention in resolving stock market uncertainty," Finance Research Letters, Elsevier, vol. 57(C).
- Roman Kräussl & Alessandro Tugnetti, 2024.
"Non‐Fungible Tokens (NFTs): A Review of Pricing Determinants, Applications and Opportunities,"
Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 555-574, April.
- Kräussl, Roman & Tugnetti, Alessandro, 2023. "Non-fungible tokens (NFTs): A review of pricing determinants, applications and opportunities," CFS Working Paper Series 693, Center for Financial Studies (CFS).
- Jung, Alexander & Kühl, Patrick, 2021.
"Can central bank communication help to stabilise inflation expectations?,"
Working Paper Series
2547, European Central Bank.
- Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
- Martineau, Charles & Mondria, Jordi, 2022. "News Selection and Asset Pricing Implications," SocArXiv ame2f, Center for Open Science.
- Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
- Du, Xiuli & Ao, Zhu & Chai, Yiwei & Ge, Shilong, 2023. "Economic policy uncertainty, investor attention and post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 87(C).