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Stock’s Macro Announcement Incremental Information and Intraday Momentum

https://doi.org/10.2139/ssrn.5413265
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.22084openalex-snapshot
Intraday time‐series momentum: Evidence from China
inferredcites →https://doi.org/10.1016/j.ejor.2021.07.030openalex-snapshot
New evidence on market response to public announcements in the presence of microstructure noise
inferredcites →https://doi.org/10.1016/j.finmar.2022.100755openalex-snapshot
Investor sentiment, style investing, and momentum
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.02.018openalex-snapshot
Intraday jumps and US macroeconomic news announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2004.10.006openalex-snapshot
Prospect theory, mental accounting, and momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.009openalex-snapshot
Market intraday momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2021.04.029openalex-snapshot
Hedging demand and market intraday momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.012openalex-snapshot
Macro News and Micro News: Complements or Substitutes?
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/10.1093/rfs/hhm034openalex-snapshot
Informed and Strategic Order Flow in the Bond Markets
inferredcites →https://doi.org/10.1093/rfs/hhn035openalex-snapshot
Do Retail Trades Move Markets?
inferredcites →https://doi.org/10.1093/rof/rfac042openalex-snapshot
Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1111/0022-1082.00280openalex-snapshot
Price Momentum and Trading Volume
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.1540-6261.2009.01532.xopenalex-snapshot
Individualism and Momentum around the World
inferredcites →https://doi.org/10.1111/jfir.12131openalex-snapshot
SHORT‐TERM RETURN PREDICTABILITY AND REPETITIVE INSTITUTIONAL NET ORDER ACTIVITY
inferredcites →https://doi.org/10.1111/jofi.12436openalex-snapshot
Infrequent Rebalancing, Return Autocorrelation, and Seasonality
inferredcites →https://doi.org/10.1162/003355301556310openalex-snapshot
Prospect Theory and Asset Prices
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.100.2.585openalex-snapshot
Price Pressure in the Government Bond Market
inferredcites →https://doi.org/10.2307/2490070openalex-snapshot
The Information Content of Annual Earnings Announcements
inferredcites →https://doi.org/10.2308/tar-2021-0075openalex-snapshot
Measuring the Information Content of Disclosures: The Role of Return Noise
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