The literature argues that news coverage predicts future stock returns because it drives attention flows through a behavioral channel. We show that the behavioral channel only accounts for half of the predictive power. The other half is explained by a novel rational channel that posits that...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

In this study we examine the stock market's reaction to aggregate earnings news. Prior research shows that, in contrast to individual-firm earnings, a) stock markets' response to aggregate earnings surprise is negative, consistent with aggregate earnings news being predominantly informative...

With a sample of ninety events (announcement and ex-date) using the event study methodology with the market model, we provide evidence for the impacts of the corporate announcements on stock returns during the pandemic stress. We find that all the corporate announcements do not impact the stock...

The simple happenstance of the overall stock market being up or down for the day can explain a substantial portion of the abnormal return attached to corporate news announcements. In particular, we demonstrate that firm-specific news announcements that are typically met with a positive stock...

The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

This study aims to investigate the effect of macroeconomic factors on Palestine and Amman Stock Exchange returns. Also, the study handles the political events in the area and their impact on Palestine and Amman stock markets returns. This study appliedthe macro-econometric model based on...