This paper gives the first empirical examination of the joint effect of information supply and demand on stock returns. Unlike previous studies, I examine the relationship between cross-sectional stock returns and "pairs" of shifts in information supply and demand. I use the number of news articles and Google search volume (for a company) as proxies for information supply and demand respectivel...

Abstract This paper examines whether adding expected dividend yields implied by analyst forecasts to capital gains target prices improves the portfolio strategy of buying stocks with highest returns and selling lowest returns. We find that based on total performs only slightly better at 1-month horizon because short-term return predictability yield is weak. generates significant abnormal regard...

We analyze the effect of Donald Trump’s tweets on individual stock returns. use intraday (minute-by-minute) data in order to uncover causal effects prices and trading activity. find that cause increased activity but do not have lasting prices. also evidence abnormal returns, volume investor attention before tweets. This finding is consistent with providing new information rather being comments ...

Several papers have identified the hazards associated with event-induced variance, yet event studies continue to ignore the problem. This study demonstrates that the most commonly used abnormal return detection methods reject the null hypothesis of zero abnormal returns too often. This causes researchers to conclude the detection of abnormal performance when none is present. Two easy to employ ...

This paper investigates the impact of international sporting and cultural events on national stock markets. We study market reaction to the announcements of the selected country hosting the Summer and Winter Olympic Games, the World Football Cup, the European Football Cup and World and Specialized Exhibitions. We also measure the market effects of the announcement of the nomination of the Europ...