Post-earnings announcement drift is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure....

Prices of the highly liquid S&P500 exchange traded fund (SPY) and the E-mini future (ES) respond to macroeconomic announcement surprises within five milliseconds, with trading intensity increasing over a hundred-fold following the news release. However, profits from trading quickly are...

I document a shift in the stock market's reaction to employment news beginning early 2000s. Good employment news increases stock prices during expansions but has no effect during recessions. Overall, good employment news is good for stocks, a shift from the relationship documented in earlier...