Savor wilson how much do investors

Measuring Tail Risks at High Frequency. I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads.

Market makers embed tail risk information into spreads because 1 they lose to arbitrageurs when … Expand. We decompose daily stock returns into newsand non-news-driven components, using a comprehensive sample of high-frequency firm-level news arrivals.

We find that news-driven returns tend to exhibit … Expand. Distinct roles of risk and uncertainty: Evidence from trading around U. We provide new evidence on distinct roles of risk and uncertainty in financial markets through examining trading activity around the U. We document a sustained increase in … Expand. View 4 excerpts, cites background and results. Stock Prices and Economic News. This paper examines the daily response of stock prices to announcements about the money supply, inflation, real economic activity, and the discountrate.

Except for the discount rate, survey data on … Expand. View 2 excerpts, references background. Macroeconomic News and Bond Market Volatility. We examine the reaction of daily Treasury bond prices to the releaseoof U. These news releases of employment and Producer Price Index data are of interest because … Expand. Highly Influential.

View 4 excerpts, references results, methods and background. We find that on average, an announcement of rising unemployment is good news for stocks during economic expansions and bad news during economic contractions.

Unemployment news bundles three types of … Expand. View 4 excerpts, references methods and background. What moves stock prices? This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic news and show that it is difficult to … Expand. View 1 excerpt, references background.

Stock Prices, News, and Business Conditions. Previous research finds that fundamental macroeconomic news has little effect on stock prices. This study shows that after allowing for different stages of the business cycle, a stronger relationship … Expand. Macroeconomic information and stock prices. The paper analyzes the response of stock prices to the announcements of 15 representative macroeconomic variables. Stock prices respond primarily to announcements of monetary variables.

Stocks of … Expand. Earnings announcements and equity options. In asset pricing models, the uncertainty surrounding firm fundamentals plays a central role, driving expected returns, volatility, and valuation ratios. In this paper, we extract estimates of the … Expand. View 1 excerpt, references results.

Treasury Market. This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find … Expand. We model consumption and dividend growth rates as containing 1 a small longrun predictable component, and 2 fluctuating economic uncertainty consumption volatility.

These dynamics, for which we … Expand. Merged citations. This "Cited by" count includes citations to the following articles in Scholar. Add co-authors Co-authors.

Follow this author. New articles by this author. New citations to this author. New articles related to this author's research. Email address for updates. My profile My library Metrics Alerts. Sign in. Get my own profile Cited by View all All Since Citations h-index 11 10 iindex 11 Public access. View all. DePaul University. Finance Economics. Articles Cited by Public access. Title Sort Sort by citations Sort by year Sort by title.