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How the Equity Market Responds to Unanticipated Events

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Cited by:

  1. Kyung-Chun Mun, 2022. "Stock market reaction and adjustment speed to multiple announcements of accounting restatements," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 22-67, January.
  2. Drienko, Jozef & Sault, Stephen J., 2013. "The intraday impact of company responses to exchange queries," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4810-4819.
  3. Angosto-Fernández Pedro Luis & Ferrández-Serrano Victoria, 2022. "World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases," Economics and Business Review, Sciendo, vol. 8(4), pages 5-38, December.
  4. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
  5. Luca Aguzzoni & Gregor Langus & Massimo Motta, 2013. "The Effect of EU Antitrust Investigations and Fines on a Firm's Valuation," Journal of Industrial Economics, Wiley Blackwell, vol. 61(2), pages 290-338, June.
  6. Bank, Matthias & Baumann, Ralf H., 2016. "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, vol. 37(C), pages 629-645.
  7. Drienko, Jozef & Sault, Stephen J. & von Reibnitz, Anna H., 2017. "Company responses to exchange queries in real time," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 116-141.
  8. Chen, Sheng-Syan & Chou, Robin K. & Lee, Yun-Chi, 2011. "Bidders' strategic timing of acquisition announcements and the effects of payment method on target returns and competing bids," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2231-2244, September.
  9. Ferdinand Graf, 2011. "Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets," Working Paper Series of the Department of Economics, University of Konstanz 2011-18, Department of Economics, University of Konstanz.
  10. 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.
  11. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
  12. Kishore Joseph & Philip Garcia, 2018. "Intraday market effects in electronic soybean futures market during non-trading and trading hour announcements," Applied Economics, Taylor & Francis Journals, vol. 50(11), pages 1188-1202, March.
  13. Angelini, Giovanni & De Angelis, Luca & Singleton, Carl, 2022. "Informational efficiency and behaviour within in-play prediction markets," International Journal of Forecasting, Elsevier, vol. 38(1), pages 282-299.
  14. Lei Wu & Kuan Xu & Qingbin Meng, 2021. "Information flow and price discovery dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 329-367, January.
  15. Choi, Darwin & Hui, Sam K., 2014. "The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 614-629.
  16. Piccoli, Pedro & Chaudhury, Mo & Souza, Alceu, 2017. "How do stocks react to extreme market events? Evidence from Brazil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 275-284.
  17. Zhou, Zhengyi, 2016. "Overreaction to policy changes in the housing market: Evidence from Shanghai," Regional Science and Urban Economics, Elsevier, vol. 58(C), pages 26-41.
  18. Roni Michaely & Amir Rubin & Alexander Vedrashko, 2014. "Corporate Governance and the Timing of Earnings Announcements," Review of Finance, European Finance Association, vol. 18(6), pages 2003-2044.
  19. C. Justin Robinson & Prosper Bangwayo-Skeete, 2017. "Semi-strong Form Market Efficiency in Stock Markets with Low Levels of Trading Activity: Evidence from Stock Price Reaction to Major National and International Events," Global Business Review, International Management Institute, vol. 18(6), pages 1447-1464, December.
  20. W. Paul Spurlin & Bonnie F. Van Ness & Robert Van Ness, 2012. "Short sales in the NYSE batch open and NASDAQ opening cross," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 219-237, June.
  21. Rao, Purnima & Goyal, Nisha & Kumar, Satish & Hassan, M. Kabir & Shahimi, Shahida, 2021. "Vulnerability of financial markets in India: The contagious effect of COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
  22. Kee H. Chung & John Elder & Jang‐Chul Kim, 2013. "Liquidity and Information Flow around Monetary Policy Announcement," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 781-820, August.
  23. repec:uts:finphd:34 is not listed on IDEAS
  24. Jeetendra Dangol, 2008. "Unanticipated Political Events and Stock Returns: An Event Study," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 20, pages 86-110, April.
  25. Deng, Guoying & Gan, Li & Hernandez, Manuel A., 2015. "Do natural disasters cause an excessive fear of heights? Evidence from the Wenchuan earthquake," Journal of Urban Economics, Elsevier, vol. 90(C), pages 79-89.
  26. Kraft, Pepa & Xie, Yuan & Zhou, Ling, 2020. "The intraday timing of rating changes," Journal of Corporate Finance, Elsevier, vol. 60(C).
  27. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
  28. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017, January-A.
  29. Dean Katselas & Baljit K. Sidhu & Chuan Yu, 2021. "Liquidity and information asymmetry around unscheduled mining announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3053-3087, June.
  30. Klaudia Radoczy & Akos Toth-Pajor, 2021. "Investors' Reactions to Extreme Events in the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(3), pages 5-30.
  31. Barakat, Ahmed & Chernobai, Anna & Wahrenburg, Mark, 2014. "Information asymmetry around operational risk announcements," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 152-179.
  32. Michael R. King, 2009. "Prebid Run‐Ups Ahead of Canadian Takeovers: How Big Is the Problem?," Financial Management, Financial Management Association International, vol. 38(4), pages 699-726, December.
  33. Wang, Xiaohan & Yang, Mengjun, 2024. "The effect of soil pollution information disclosure on housing prices," China Economic Review, Elsevier, vol. 83(C).
  34. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.
  35. Vahidin Jeleskovic & Yinan Wan, 2024. "The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method," Papers 2402.14206, arXiv.org.
  36. Peter Gomber & Uwe Schweickert & Erik Theissen, 2015. "Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach," European Financial Management, European Financial Management Association, vol. 21(1), pages 52-78, January.
  37. Zhu, Hongjia & Deng, Yongheng & Zhu, Rong & He, Xiaobo, 2016. "Fear of nuclear power? Evidence from Fukushima nuclear accident and land markets in China," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 139-154.
  38. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
  39. Moshirian, Fariborz & Nguyen, Huong Giang (Lily) & Pham, Peter Kien, 2012. "Overnight public information, order placement, and price discovery during the pre-opening period," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2837-2851.
  40. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  41. Ersan, Oguz & Simsir, Serif Aziz & Simsek, Koray D. & Hasan, Afan, 2021. "The speed of stock price adjustment to corporate announcements: Insights from Turkey," Emerging Markets Review, Elsevier, vol. 47(C).
  42. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
  43. Guoying Deng & Li Gan & Manuel A. Hernandez, 2013. "Do People Overreact? Evidence from the Housing Market After the Wenchuan Earthquake," NBER Working Papers 19515, National Bureau of Economic Research, Inc.
  44. Pedro L. Angosto‐Fernández & Victoria Ferrández‐Serrano, 2022. "Independence day: Political risk and cross‐sectional determinants of firm exposure after the Catalan crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4318-4335, October.
  45. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
  46. Smales, Lee A., 2015. "Asymmetric volatility response to news sentiment in gold futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 161-172.
  47. Smales, Lee A., 2014. "News sentiment in the gold futures market," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 275-286.
  48. Alasdair Brown & Dooruj Rambaccussing & J. James Reade & Giambattista Rossi, 2018. "Forecasting With Social Media: Evidence From Tweets On Soccer Matches," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1748-1763, July.
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