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Auctions, Announcements, and Abnormal Returns
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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.2007.06.001openalex-snapshot
How is macro news transmitted to exchange rates?
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.2017.08.002openalex-snapshot
Intermediary asset pricing: New evidence from many asset classes
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.jmoneco.2006.05.015openalex-snapshot
The high-frequency response of exchange rates and interest rates to macroeconomic announcements
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/10.1093/qje/qjad024openalex-snapshot
A Quantity-Driven Theory of Term Premia and Exchange Rates
inferredcites →https://doi.org/10.1093/rfs/4.3.543openalex-snapshot
Volatility in the Foreign Currency Futures Market
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-snapshot
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hht034openalex-snapshot
Anticipated and Repeated Shocks in Liquid Markets
inferredcites →https://doi.org/10.1111/jofi.12189openalex-snapshot
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12499openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1111/jofi.12620openalex-snapshot
Deviations from Covered Interest Rate Parity
inferredcites →https://doi.org/10.1111/jofi.13079openalex-snapshot
Currency Mispricing and Dealer Balance Sheets
inferredcites →https://doi.org/10.1111/jofi.13086openalex-snapshot
Do Intermediaries Matter for Aggregate Asset Prices?
inferredcites →https://doi.org/10.1111/jofi.13191openalex-snapshot
International Yield Curves and Currency Puzzles
inferredcites →https://doi.org/10.1257/000282803321455151openalex-snapshot
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
inferredcites →https://doi.org/10.1257/aer.20180098openalex-snapshot
The Term Structure of Currency Carry Trade Risk Premia
inferredcites →https://doi.org/10.3386/w32324openalex-snapshot
Monetary Policy, Segmentation, and the Term Structure
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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