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Premium for heightened uncertainty: Explaining pre-announcement market returns · Study

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ArticlePremium for heightened uncertainty: Explaining pre-announcement market returns

Grace Xing Hu2021

OA

Articlegreen2021

Premium for heightened uncertainty: Explaining pre-announcement market returns

Grace Xing Hu · Jun Pan · Jiang Wang · Haoxiang Zhu

127 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973An Intertemporal Capital Asset Pricing Model 1976Option pricing when underlying stock returns are discontinuous 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1987Expected stock returns and volatility 1997Empirical Performance of Alternative Option Pricing Models 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1992No news is good news 2009Expected Stock Returns and Variance Risk Premia

Cited by

2021Macro News and Micro News: Complements or Substitutes?2020Recovering the FOMC Risk Premium 2023The Lost Capital Asset Pricing Model 2024Green financial policy, technological advancement reversal, assessment of emission reduction effects 2025The Fed and the Secular Decline in Interest Rates 2025Market Returns and a Tale of Two Types of Attention

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Details

Year2021

Typearticle

Published2021-10-14

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations127

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2021.09.015

openalex_workW3122856157

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