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Anomaly Returns and FOMC
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-snapshot
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-snapshot
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.002openalex-snapshot
Institutional investors and stock return anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.001openalex-snapshot
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.012openalex-snapshot
Show Me the Money: The Monetary Policy Risk Premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-snapshot
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-snapshot
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jfineco.2022.04.005openalex-snapshot
Recovering the FOMC Risk Premium
inferredcites →https://doi.org/10.1016/s1386-4181(00)00002-1openalex-snapshot
Inferring investor behavior: Evidence from TORQ data
inferredcites →https://doi.org/10.1016/s1574-0102(03)01027-6openalex-snapshot
Chapter 18 A survey of behavioral finance
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1017/s002210901700028xopenalex-snapshot
Short-Term Interest Rates and Stock Market Anomalies
inferredcites →https://doi.org/10.1017/s0022109020000940openalex-snapshot
Inferring Stock Duration Around FOMC Surprises: Estimates and Implications
inferredcites →https://doi.org/10.1017/s0022109022000527openalex-snapshot
Mining the Short Side: Institutional Investors and Stock Market Anomalies
inferredcites →https://doi.org/10.1046/j.1540-6261.2003.00614.xopenalex-snapshot
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
inferredcites →https://doi.org/10.1086/723574openalex-snapshot
A Reassessment of Monetary Policy Surprises and High-Frequency Identification
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhs073openalex-snapshot
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00161openalex-snapshot
Optimal Investment, Growth Options, and Security Returns
inferredcites →https://doi.org/10.1111/0022-1082.00350openalex-snapshot
Overconfidence, Arbitrage, and Equilibrium Asset Pricing
inferredcites →https://doi.org/10.1111/1540-6261.00449openalex-snapshot
Momentum, Business Cycle, and Time‐varying Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-snapshot
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-snapshot
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04825.xopenalex-snapshot
Good News for Value Stocks: Further Evidence on Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01201.xopenalex-snapshot
Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
inferredcites →https://doi.org/10.1111/jofi.12226openalex-snapshot
Information Diversity and Complementarities in Trading and Information Acquisition
inferredcites →https://doi.org/10.1111/jofi.12361openalex-snapshot
Earnings Announcements and Systematic Risk
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12947openalex-snapshot
The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies
inferredcites →https://doi.org/10.1111/jofi.13501openalex-snapshot
Anomalies and Their Short-Sale Costs
inferredcites →https://doi.org/10.1257/aer.20131513openalex-snapshot
Are Sticky Prices Costly? Evidence from the Stock Market
inferredcites →https://doi.org/10.1561/104.00000112openalex-snapshot
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4623984openalex-extracted
The FOMC Announcement Premium Asymmetry
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