Asset Pricing: A Tale of Two Days

268 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Monetary Policy Through Production Networks: Evidence from the Stock Market (2017, background): “sensitivities because of differences in their cyclicality of demand or durability of output (see D’Acunto, Hoang, and Weber (2017)).”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “Related to this, Savor and Wilson (2014) have also recently argued that cross-sectional return patterns are different on news announcement days.”
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, unknown): “In contrast, we find no evidence of significant price run-ups before the announcements by the DOL and BEA, consistent with Savor and Wilson (2013, 2014).”
Are Institutions Informed About News (2015, background): “, Roll’s (1988) presidential address and Boudoukh, Feldman, Kogan, and Richardson (2013), must be interpreted with caution.”