Volume, volatility, and public news announcements

التفاصيل البيبلوغرافية
العنوان:	Volume, volatility, and public news announcements
المؤلفون:	BOLLERSLEV, Tim, LI, Jia, XUE, Yuan
المصدر:	Research Collection School Of Economics
بيانات النشر:	Institutional Knowledge at Singapore Management University
سنة النشر:	2018
المجموعة:	Institutional Knowledge (InK) at Singapore Management University
مصطلحات موضوعية:	Model Construction and Estimation, Model Evaluation, Validation and Selection, Asset Pricing, Trading volume, Bond Interest Rates, Econometrics
الوصف:	We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around important news announcements are systematically below unity. Our elasticity estimates also decrease significantly with measures of disagreements in beliefs, economic uncertainty, and textual-based sentiment, further highlighting the key role played by differences-of-opinion.
نوع الوثيقة:	text
وصف الملف:	application/pdf
اللغة:	English
العلاقة:	https://ink.library.smu.edu.sg/soe_research/2584Test; https://ink.library.smu.edu.sg/context/soe_research/article/3583/viewcontent/VolumeVol_PNA_sv.pdfTest
DOI:	10.1093/restud/rdy003
الإتاحة:	https://doi.org/10.1093/restud/rdy003Test https://ink.library.smu.edu.sg/soe_research/2584Test https://ink.library.smu.edu.sg/context/soe_research/article/3583/viewcontent/VolumeVol_PNA_sv.pdfTest
حقوق:	http://creativecommons.org/licenses/by-nc-nd/4.0Test/
رقم الانضمام:	edsbas.555EA342
قاعدة البيانات:	BASE

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الوصف
DOI:	10.1093/restud/rdy003