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Stock Prices, News, and Business Conditions

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2012Predictive regressions with time-varying coefficients549 cited

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1999

Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests

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2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited

2004Economic News and the Impact of Trading on Bond Prices413 cited

2013How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements410 cited

2009Investor sentiment and the stock market’s reaction to monetary policy379 cited

2004Macro variables and international stock return predictability351 cited

1998Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1342 cited

2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited

1994Public Information Arrival337 cited

2007Stock and Bond Market Liquidity: A Long-Run Empirical Analysis272 cited

2001Economic tracking portfolios270 cited

1993International Evidence on the Robustness of the Day-of-the-Week Effect261 cited

2008Macroeconomic cycles and the stock market’s reaction to monetary policy247 cited

2011Market response to policy initiatives during the global financial crisis235 cited

2002Macroeconomic Factors Do Influence Aggregate Stock Returns235 cited