Using a comprehensive database of headlines about individual companies, I examine
monthly returns following public news. I compare them to stocks with similar returns, but no …

Most models of trade in speculative markets assume that agents interpret public information
identically. We provide empirical evidence on the relation between the volume of trade and …

We examine the implications of portfolio theory for the cross-sectional behavior of equity
trading volume. Two-fund separation theorems suggest a natural definition for trading …

Purpose This study aims to support and extend signalling theory because of information
asymmetry. This study also aims to answer the call to further negative signalling and explore …

We investigate the behavior of stock market indices across 33 countries around political
election dates during the sample period 1974–1995. We find a positive abnormal return …

In this paper we review the literature on the short term predictability of stock prices
conditional on large prior price changes. This research area is characterized by a large …

We model and examine the impact of information releases on market uncertainty as
measured by the implied standard deviation (ISD) from option markets. Distinguishing …

We propose a framework of risk premium that offers a resolution to CAPM's challenge to the
field of strategy. Our core assumption is that investors bear firm-specific risk because they …

We analyse the relationships between return calculation methods, risk and observation
periods. We show that the mean of a return set calculated using logarithmic returns is less …

We derive an intertemporal asset pricing model and explore its implications for trading
volume and asset returns. We show that investors trade in only two portfolios: the market …