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Information shocks, liquidity shocks, jumps, and price discovery : evidence from the US treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 2, pp. 527-551
Persistent link: https://www.econbiz.de/10009153191
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Economic news and bond prices : evidence from the US treasury market
Balduzzi, Pierluigi; Elton, Edwin J.; Green, Tracy Clifton - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 4, pp. 523-543
Persistent link: https://www.econbiz.de/10001651573
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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...
Persistent link: https://www.econbiz.de/10012787067
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The Effects of War Risk on U.S. Financial Markets
Sack, Brian P.; Rigobon, Roberto - 2021
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …
Persistent link: https://www.econbiz.de/10013210541
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Understanding the penalties associated with corporate misconduct : an empirical examination of earnings and risk
Murphy, Deborah L.; Shrieves, Ronald E.; Tibbs, Samuel L. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 55-83
Persistent link: https://www.econbiz.de/10003854345
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The role of the media in the Internet IPO bubble
Bhattacharya, Utpal; Galpin, Neal; Ray, Rina; Yu, Xiaoyun - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 657-682
Persistent link: https://www.econbiz.de/10003887391
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How do analyst recommendations respond to major news?
Conrad, Jennifer S.; Cornell, Bradford; Landsman, Wayne R. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 1, pp. 25-50
Persistent link: https://www.econbiz.de/10003303758
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Market reaction to corporate press releases
Neuhierl, Andreas; Scherbina, Anna; Schlusche, Bernd - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1207-1240
Persistent link: https://www.econbiz.de/10010255205
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The Sarbanes-Oxley Act, earnings management, and post-buyback performance of open-market repurchasing firms
Chen, Sheng-syan; Huang, Chia Wei - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 6, pp. 1847-1876
Persistent link: https://www.econbiz.de/10010388246
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Economic sources of gain in stock repurchases
Chan, Konan; Ikenberry, David; Lee, Inmoo - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 3, pp. 461-479
Persistent link: https://www.econbiz.de/10002233826