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Investor Risk Appetite and High-Beta Stock Valuation Around Macroeconomic Announcements

https://doi.org/10.2139/ssrn.4706283
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inferredcites →https://doi.org/10.1016/0165-4101(94)90004-3openalex-extracted
Market liquidity and volume around earnings announcements
inferredcites →https://doi.org/10.1016/0304-405x(86)90065-6openalex-extracted
Asset pricing and the bid-ask spread
inferredcites →https://doi.org/10.1016/0304-405x(91)90033-gopenalex-extracted
Market reaction to anticipated announcements
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.033openalex-extracted
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
inferredcites →https://doi.org/10.1016/j.jeconom.2014.05.008openalex-extracted
The VIX, the variance premium and stock market volatility
inferredcites →https://doi.org/10.1016/j.jeconom.2021.07.014openalex-extracted
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-extracted
Asset pricing with liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2008.01.005openalex-extracted
Risk, uncertainty, and asset prices
inferredcites →https://doi.org/10.1016/j.jfineco.2013.10.005openalex-extracted
Betting against beta
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-extracted
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2014.06.009openalex-extracted
News-driven return reversals: Liquidity provision ahead of earnings announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2015.08.003openalex-extracted
Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.009openalex-extracted
The Cross-Sectional Variation of Volatility Risk Premia
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.012openalex-extracted
Can information be locked up? Informed trading ahead of macro-news announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.007openalex-extracted
Time varying risk aversion
inferredcites →https://doi.org/10.1016/j.jfineco.2019.07.003openalex-extracted
Betting against correlation: Testing theories of the low-risk effect
inferredcites →https://doi.org/10.1016/j.jfineco.2020.04.015openalex-extracted
On the performance of volatility-managed portfolios
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.023openalex-extracted
Betting Against Betting Against Beta
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-extracted
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-extracted
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jfineco.2022.04.005openalex-extracted
Recovering the FOMC Risk Premium
inferredcites →https://doi.org/10.1016/j.jfineco.2022.06.002openalex-extracted
Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion
inferredcites →https://doi.org/10.1016/j.jmoneco.2021.02.003openalex-extracted
The FOMC Risk Shift
inferredcites →https://doi.org/10.1016/s1386-4181(00)00002-1openalex-extracted
Inferring investor behavior: Evidence from TORQ data
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s002210900999038xopenalex-extracted
On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-extracted
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1017/s0022109018000625openalex-extracted
Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?
inferredcites →https://doi.org/10.1086/250059openalex-extracted
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/qje/qjaa009openalex-extracted
Financial Market Risk Perceptions and the Macroeconomy*
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-extracted
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/rfs/1.1.41openalex-extracted
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-extracted
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-extracted
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhi027openalex-extracted
The Model-Free Implied Volatility and Its Information Content
inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-extracted
Variance Risk Premiums
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhq052openalex-extracted
Does Public Financial News Resolve Asymmetric Information?
inferredcites →https://doi.org/10.1093/rof/rfv046openalex-extracted
Changing Risk Perception and the Time-Varying Price of Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04565.xopenalex-extracted
A Simple Model of Capital Market Equilibrium with Incomplete Information
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-extracted
Inferring Trade Direction from Intraday Data
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04078.xopenalex-extracted
Earnings Announcements and the Components of the Bid-Ask Spread
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01371.xopenalex-extracted
Dissecting Anomalies
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01727.xopenalex-extracted
Individual Investor Trading and Return Patterns around Earnings Announcements
inferredcites →https://doi.org/10.1111/jofi.12196openalex-extracted
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12383openalex-extracted
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
inferredcites →https://doi.org/10.1111/jofi.13033openalex-extracted
Tracking Retail Investor Activity
inferredcites →https://doi.org/10.1257/aer.20131314openalex-extracted
Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
inferredcites →https://doi.org/10.1257/mac.20190171openalex-extracted
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
inferredcites →https://doi.org/10.1287/mnsc.1060.0579openalex-extracted
A Theory of Volatility Spreads
inferredcites →https://doi.org/10.1287/mnsc.2021.4068openalex-extracted
The Time Variation in Risk Appetite and Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.2023.4929openalex-extracted
The Booms and Busts of Beta Arbitrage
inferredcites →https://doi.org/10.2139/ssrn.1312091openalex-extracted
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.2139/ssrn.1342471openalex-extracted
Individual Investor Trading and Return Patterns Around Earnings Announcements
inferredcites →https://doi.org/10.2139/ssrn.2252209openalex-extracted
The VIX, the Variance Premium and Stock Market Volatility
inferredcites →https://doi.org/10.2139/ssrn.2327557openalex-extracted
Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
inferredcites →https://doi.org/10.2139/ssrn.2913508openalex-extracted
Betting Against Correlation: Testing Theories of the Low-Risk Effect
inferredcites →https://doi.org/10.2139/ssrn.3882108openalex-extracted
The Volatility Puzzle of the Beta Anomaly
inferredcites →https://doi.org/10.2139/ssrn.3964349openalex-extracted
Information Acquisition and the Pre-Announcement Drift
inferredcites →https://doi.org/10.2307/2490874openalex-extracted
The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices
inferredcites →https://doi.org/10.2308/accr.2007.82.3.581openalex-extracted
Who Trades on Pro Forma Earnings Information?
inferredcites →https://doi.org/10.3386/w2168openalex-extracted
Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
inferredcites →https://doi.org/10.3386/w21803openalex-extracted
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
inferredcites →https://doi.org/10.3386/w26290openalex-extracted
Financial Market Risk Perceptions and the Macroeconomy
inferredcites →https://doi.org/10.3386/w27856openalex-extracted
Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion
inferredcites →https://doi.org/10.3386/w31360openalex-extracted
Avoiding Idiosyncratic Volatility: Flow Sensitivity to Individual Stock Returns
inferredcites →https://doi.org/10.3386/w4995openalex-extracted
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.3982/ecta14607openalex-extracted
Risk Preferences and the Macroeconomic Announcement Premium
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