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Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns
16 references·0 citing·40 second hop
Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns (2006)Events that Shook the Market: An Insight …Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Chapter 18 A survey of behavioral finance (2003)Chapter 18 A survey of behavi…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…EVENT STUDIES IN MANAGEMENT RESEARCH: THEORETICAL AND EMPIRICAL ISSUES. (1997)EVENT STUDIES IN MANAGEMENT R…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Pollution as News: Media and Stock Market Reactions to the Toxics Release Inventory Data (1995)Pollution as News: Media and …Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…The underpricing of initial public offerings and the partial adjustment phenomenon (1993)The underpricing of initial p…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIChaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…What Moves Stock Prices? (1988)What Moves Stock Prices?Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)What Makes Investors Trade? (2001)Individualism and Momentum around the World (2010)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Sentiment During Recessions (2012)The market for corporate control (1983)The Stakeholder Theory of the Corporation: Concepts, Evidence, and Implications (1995)Customer Satisfaction and Stock Prices: High Returns, Low Risk (2005)Social Movements as Extra-Institutional Entrepreneurs: The Effect of Protests on Stock Price Returns (2007)Data Privacy: Effects on Customer and Firm Performance (2016)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)The arbitrage theory of capital asset pricing (1976)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Investor attention, overconfidence and category learning (2006)Retail Investor Sentiment and Return Comovements (2006)The Behavior of Individual Investors (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1985Using daily stock returns6,497 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1980Measuring security price performance3,330 cited
  • 1997EVENT STUDIES IN MANAGEMENT RESEARCH: THEORETICAL AND EMPIRICAL ISSUES.1,942 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 2003Chapter 18 A survey of behavioral finance1,452 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1995Pollution as News: Media and Stock Market Reactions to the Toxics Release Inventory Data1,089 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1993The underpricing of initial public offerings and the partial adjustment phenomenon988 cited

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How Markets Process Information: News Releases and Volatility
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