This paper investigates jumps and cojumps in European financial markets around the major U.S macroeconomic news announcements employing more than six years of high frequency data on stock indices, currency and interest rate futures. The findings show that while the U.S macroeconomic...

This paper investigates jumps and cojumps in European financial markets around the major U.S macroeconomic news announcements employing more than six years of high frequency data on stock indices, currency and interest rate futures. The findings show that while the U.S macroeconomic...

We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within an 11-month lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36...