We analyze the effect of scheduled macroeconomic news on intraday market sentiment by comparing the sentiment of the announcement date with that of the non-announcement date. The announcement of the macroeconomic indicators itself does not change the market sentiment, but the direction of the...

This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic...

This study compares three types of portfolio investment strategies: analyst-recommended, recommendation changes and momentum for the United States stock market. We compare these portfolios by period, size, and industry. Our results show that the momentum portfolio performs best across all...