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From Discovery to Holdout: Digital Business Models and the External Validity of FOMC Announcement-Day Return Differentials

https://doi.org/10.2139/ssrn.7589493
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The market model and the event study method: A synthesis of the econometric criticisms
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Monetary policy and stock returns under the MPC and inflation targeting
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Stock market reactions to monetary policy surprises under uncertainty
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Monetary policy surprises and the cross sectional stock return predictability in volume sorted portfolios
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Sample selection and event study estimation
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Asset pricing: A tale of two days
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A five-factor asset pricing model
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Fintech, regulatory arbitrage, and the rise of shadow banks
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The cross section of the monetary policy announcement premium
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Interest rate risk and bank equity valuations
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Time series and cross-section parameter stability in the market model: the implications for event studies
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Risk, Return, and Equilibrium: Empirical Tests
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When Do Covariates Matter? And Which Ones, and How Much?
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The Deposits Channel of Monetary Policy*
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A Model of Two Days: Discrete News and Asset Prices
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Editor's Choice … and the Cross-Section of Expected Returns
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Replicating Anomalies
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The Role of Technology in Mortgage Lending
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Information Production and Capital Allocation: Decentralized versus Hierarchical Firms
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Does Distance Still Matter? The Information Revolution in Small Business Lending
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On Persistence in Mutual Fund Performance
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What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/j.2517-6161.1954.tb00159.xopenalex-snapshot
Some Problems in Interval Estimation
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The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12818openalex-snapshot
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/jofi.13249openalex-snapshot
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1162/rest.90.3.414openalex-snapshot
Bootstrap-Based Improvements for Inference with Clustered Errors
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Identification of and Correction for Publication Bias
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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