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Media effects matter: Macroeconomic announcements in the gold futures market
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Media effects matter: Macroeconomic announcements in the gold futures market (2020)Media effects matter: Macroeconomic annou…The Causal Impact of Media in Financial Markets (2011)The Causal Impact of Media in…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…The Disposition Effect and Underreaction to News (2006)The Disposition Effect and Un…Handcuffs for the Grabbing Hand? Media Capture and Government Accountability (2006)Handcuffs for the Grabbing Ha…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…The Market for News (2005)The Market for NewsMacroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar (2001)Contagious Speculation and a …Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Mediating the Message: Theories of Influences on Mass Media Content (1995)Mediating the Message: Theori…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIThe Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Structure of Scientific Revolutions (1963)The Agenda-Setting Function of Mass Media (1972)Media Reputation as a Strategic Resource: An Integration of Mass Communication and Resource-Based Theories (2000)What is journalism? (2005)Framing, Agenda Setting, and Priming: The Evolution of Three Media Effects Models (2006)A Theory of Cognitive Dissonance (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Corporate financing and investment decisions when firms have information that investors do not have (1984)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Corruption and Growth (1995)Law and Finance (1998)The quality of government (1999)Media Bias and Reputation (2006)Is Transparency the Key to Reducing Corruption in Resource-Rich Countries? (2008)Corporate socially responsible investments: CEO altruism, reputation, and shareholder interests (2014)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Are Investors Reluctant to Realize Their Losses? (1998)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Permanent and Temporary Components of Stock Prices (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common risk factors in the returns on stocks and bonds (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)The Theory of Industrial Organization (1988)Stability in Competition (1990)The Nature and Origins of Mass Opinion. (1993)Identity and the Economics of Organizations (2005)Affect, Not Ideology (2012)On Persistence in Mutual Fund Performance (1997)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)… and the Cross-Section of Expected Returns (2015)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1991Efficient Capital Markets: II5,761 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1995Mediating the Message: Theories of Influences on Mass Media Content2,109 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2005The Market for News1,243 cited
  • 2006Handcuffs for the Grabbing Hand? Media Capture and Government Accountability1,163 cited
  • 2011The Causal Impact of Media in Financial Markets1,132 cited
  • 2001Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar924 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2006The Disposition Effect and Underreaction to News880 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns

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826 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
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