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Information Acquisition and the Pre-Announcement Drift
16 references·1 citing·48 second hop
Information Acquisition and the Pre-Announcement Drift (2021)Information Acquisition and the Pre-Annou…Information Disclosure in Financial Markets (2017)Information Disclosure in Fin…Stock Returns Over the FOMC Cycle (2015)Stock Returns Over the FOMC C…Asset pricing: A tale of two days (2014)Asset pricing: A tale of two …The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…Information Choice in Macroeconomics and Finance (2011)Information Choice in Macroec…Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…Information Acquisition and Under-Diversification (2009)Information Acquisition and U…Learning Under Ambiguity (2007)Learning Under AmbiguityRobust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Implications of rational inattention (2003)Implications of rational inat…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…An Introduction to the Theory of Rational Expectations Under Asymmetric Information (1981)An Introduction to the Theory…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the aggregation of information in competitive markets (1980)On the aggregation of informa…Premium for Heightened Uncertainty: Solving the FOMC Puzzle (2018)Premium for Heightened Uncert…Some International Evidence on Output-Inflation Tradeoffs. (1973)An Economic Theory of Self-Control (1977)Golden Eggs and Hyperbolic Discounting (1997)Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve (2002)Were There Regime Switches in U.S. Monetary Policy? (2006)In Search of Attention (2011)Risk Aversion in the Small and in the Large (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Herd Behavior and Investment (1988)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Continuous Auctions and Insider Trading (1985)Liquidity Risk and Expected Stock Returns (2001)The High‐Volume Return Premium (2001)Liquidity and Asset Prices (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)What is the Intrinsic Value of the Dow? (1999)Dynamic Volume-Return Relation of Individual Stocks (2002)Risk, Ambiguity, and the Savage Axioms (1961)Model Misspecification and Underdiversification (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Maxmin expected utility with non-unique prior (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Ambiguity, Information Quality, and Asset Pricing (2008)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Asset Pricing with Omitted Factors (2021)The arbitrage theory of capital asset pricing (1976)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Behavioral biases of mutual fund investors (2011)Investor Attention and Stock Market Volatility (2014)Household Finance (2021)A Theory of Intraday Patterns: Volume and Price Variability (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2003Implications of rational inattention3,869 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 2009Information Acquisition and Under-Diversification663 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 2012The Pre-FOMC Announcement Drift630 cited
  • 1981An Introduction to the Theory of Rational Expectations Under Asymmetric Information430 cited
  • 2017Information Disclosure in Financial Markets413 cited
  • 2007Learning Under Ambiguity364 cited
  • 2014Asset pricing: A tale of two days346 cited
  • 2015Stock Returns Over the FOMC Cycle342 cited
  • 2011Information Choice in Macroeconomics and Finance274 cited

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Cited by

  • 2018Premium for Heightened Uncertainty: Solving the FOMC Puzzle28 cited