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What Moves Stock Prices
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TLDR
In this article, the authors estimate the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news and show that it is difficult to explain more than one third of the return variance from this source, and explore the possibility that the stock market responds to information that is omitted from their specifications.Abstract:
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 explain more than one third of the return variance from this source Second, to explore the possibility that the stock market responds to information that is omitted from our specifications, we also examine market moves coincident with major political and world events The relatively small market responses to such news, along with evidence that large market moves often occur on days without any identifiable major news releases, casts doubt on the view that stock price movements are fully explicable by news about future cash flows and discount rates(This abstract was borrowed from another version of this item)read more
Citations
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Empirical properties of asset returns: stylized facts and statistical issues
TL;DR: In this paper, the authors present a set of stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets, including distributional properties, tail properties and extreme fluctuations, pathwise regularity, linear and nonlinear dependence of returns in time and across stocks.
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Giving Content to Investor Sentiment: The Role of Media in the Stock Market
TL;DR: The authors quantitatively measure the nature of the media's interactions with the stock market using daily content from a popular Wall Street Journal column and find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals.
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Measuring Organizational Performance: Towards Methodological Best Practice
TL;DR: In this paper, a review of the operationalization of performance highlights the limited effectiveness of commonly accepted measurement practices in tapping this multidimensional conceptualization, and a call for research that examines triangulation using multiple measures, longitudinal data and alternative methodological formulations as methods of appropriately aligning research contexts with the measurement of organizational performance.
Posted Content
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
TL;DR: In this paper, the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns is modified to allow for volatility feedback effect, which amplifies large negative stock returns and dampens large positive returns, making stock returns negatively skewed and increasing the potential for large crashes.
Journal ArticleDOI
More than Words: Quantifying Language to Measure Firms' Fundamentals
TL;DR: This paper examined whether a simple quantitative measure of language can be used to predict individual firms' accounting earnings and stock returns and found that the fraction of negative words in firm-specific news stories predicts low firm earnings.
References
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Journal ArticleDOI
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
Journal ArticleDOI
Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.
Journal ArticleDOI
Dividend yields and expected stock returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon, and the authors offer a two-part explanation: high autocorrelation causes the variance of expected returns to grow faster than the return-horizon.
Book
A Monetary History of the United States
Milton Friedman,Anna J. Schwartz +1 more
TL;DR: The long-awaited monetary history of the United States by Friedman and Schwartz is in every sense of the term a monumental scholarly achievement as discussed by the authors, and the treatment of innumerable issues, large and small, have been brought to bear on the solution of complex and subtle economic issues.
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Permanent and Temporary Components of Stock Prices
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: This article found that a slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns, which is weak for the daily and weekly holding periods common in market efficiency tests but stronger for long-horizon returns.