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Macroeconomic News and Stock Returns in the United States and Germany
16 references·8 citing·51 second hop
Macroeconomic News and Stock Returns in the United States and Germany (2006)Macroeconomic News and Stock Returns in t…The Term Structure of Announcement Effects (2005)The Term Structure of Announc…Relative importance of scheduled macroeconomic news for stock market investors (2003)Relative importance of schedu…Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003)Asymmetrical reaction to US s…The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks (2001)The Stock Market's Reaction t…Macro shocks and real stock prices (2001)Macro shocks and real stock p…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)The Creation and Resolution o…Stock prices, news, and business conditions (1993)Stock prices, news, and busin…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)The Effect of Bond Rating Age…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Response of Hourly Stock Prices and Trading Volume to Economic News (1988)Response of Hourly Stock Pric…Macroeconomic information and stock prices (1987)Macroeconomic information and…Stock Prices and Economic News (1985)Stock Prices and Economic NewsThe impact of investor sentiment on returns, cash flows, discount rates, and performance (2021)The impact of investor sentim…Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes (2019)Stock Price Reactions to Wire…Complexity of ECB Communication and Financial Market Trading (2019)Complexity of ECB Communicati…The similarity of ECB’s communication (2015)The similarity of ECB’s commu…The impact of macroeconomic and financial stress on the U.S. financial sector (2015)The impact of macroeconomic a…Mirror or Molder? A Study of Media Coverage, Stock Prices, and Trading Volumes in Germany (2011)Mirror or Molder? A Study of …How do commodity futures respond to macroeconomic news? (2008)How do commodity futures resp…Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case (2008)Explanatory factors of the in…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Adjustment of Stock Prices to New Information (1969)Day of the Week Effects and Asset Returns (1981)Business conditions, monetary policy, and expected security returns (1996)The Adjustment of Stock Prices to New Information (2003)Investor sentiment and the stock market’s reaction to monetary policy (2009)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Asset returns and inflation (1977)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY (1996)Macroeconomic News, Order Flows, and Exchange Rates (2008)Macroeconomic news, announcements, and stock market jump intensity dynamics (2010)Inflation and the Stock Market (1978)Stock Prices and Economic News (1984)Price volatility, international market links, and their implications for regulatory policies (1989)Events That Shook the Market (2002)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2011)An Intertemporal Capital Asset Pricing Model (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Valuation and Learning about Profitability (2003)Style investing (2003)Ambiguity, Information Quality, and Asset Pricing (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)The Pricing of Options on Assets with Stochastic Volatilities (1987)ARCH modeling in finance (1992)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Theory of rational option pricing (2005)When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia (2013)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)The Information Content of Annual Earnings Announcements (1968)Measuring the Information Content of Stock Trades (1991)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Yield spreads on EMU government bonds (2003)The Pre-FOMC Announcement Drift (2012)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The Credit Ratings Game (2009)The Economics of Structured Finance (2009)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices1,002 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1985Stock Prices and Economic News420 cited
  • 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
  • 1987Macroeconomic information and stock prices192 cited
  • 1988Response of Hourly Stock Prices and Trading Volume to Economic News171 cited
  • 1993Stock prices, news, and business conditions153 cited
  • 2001Macro shocks and real stock prices126 cited
  • 2003Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model110 cited
  • 2005The Term Structure of Announcement Effects93 cited
  • 2003Relative importance of scheduled macroeconomic news for stock market investors

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67 cited
  • 2001The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks59 cited
  • Cited by

    • 2008How do commodity futures respond to macroeconomic news?84 cited
    • 2011Mirror or Molder? A Study of Media Coverage, Stock Prices, and Trading Volumes in Germany38 cited
    • 2019Complexity of ECB Communication and Financial Market Trading32 cited
    • 2015The impact of macroeconomic and financial stress on the U.S. financial sector31 cited
    • 2008Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case27 cited
    • 2015The similarity of ECB’s communication26 cited
    • 2019Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes21 cited
    • 2021The impact of investor sentiment on returns, cash flows, discount rates, and performance20 cited