This paper examines price reactions to analysts' recommendations issued in the opposite direction of recent stock price movements. We find that upgrade and downgrade contrarian recommendations induce larger market reactions than non-contrarian recommendations, consistent with the view that they...

This paper investigates the causal impact of short-sale constraints on the idiosyncratic volatility (IVOL) puzzle. Our identification strategies rely on two opposing exogenous shocks to short-sale constraints: (1) Regulation SHO which relaxes constraints for pilot stocks; (2) the Job and Growth...

We capture economic policy uncertainty from mainstream TV cable networks and link it to market volatility. The novelty of our method is that we can identify who is on TV and when the news is delivered. Our measure is correlated with print-based measures of policy uncertainty at the daily level,...