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Market Return Around the Clock: A Puzzle
16 references·0 citing·47 second hop
Market Return Around the Clock: A Puzzle (2020)Market Return Around the Clock: A PuzzleMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Information and the Cost of Capital (2004)Information and the Cost of C…Investor Sentiment and the Cross-Section of Stock Returns (2003)Investor Sentiment and the Cr…Investment under Uncertainty (1994)Investment under UncertaintyA Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Noise (1986)NoiseA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Geopolitical Risk (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)An Economic Theory of Democracy. (1958)Distributive Politics and Economic Growth (1994)Political uncertainty and risk premia (2013)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)Continuous Auctions and Insider Trading (1985)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On Persistence in Mutual Fund Performance (1997)Choosing factors (2018)Replicating Anomalies (2018)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Capital markets research in accounting (2001)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1994Investment under Uncertainty9,016 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 1986Noise1,783 cited
  • 2003Investor Sentiment and the Cross-Section of Stock Returns1,456 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited

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The Pre-FOMC Announcement Drift
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