منابع مشابه
Stock Prices, News, and Economic Fluctuations
There is a huge literature suggesting that stock price movements reflect the market’s expectation of future developments in the economy. As a test of standard valuation models, Eugene F. Fama (1990) shows that monthly, quarterly, and annual stock returns are highly correlated with future production growth rates for the 1953–1987 period. This result is confirmed on a extended sample (1889–1988) ...
متن کاملStock prices and house prices: Which one affects the other?
Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we con...
متن کاملEconomic News and the Impact of Trading on Bond Prices
This paper studies the impact of trading on government bond prices surrounding the release of macroeconomic news. The results show a significant increase in the informational role of trading following economic announcements, which suggests the release of public information increases the level of information asymmetry in the government bond market. The informational role of trading is greater af...
متن کاملEnhancing quantitative intra-day stock return prediction by integrating both market news and stock prices information
The interaction between stock price process and market news has been widely analyzed by investors on different markets. Previous works, however, focus either on market news purely as exogenous factors that tend to lead price process or on the analysis of how past stock price process can affect future stock returns. To take a step forward, we quantitatively integrate information from both market...
متن کاملEconomic News and International Stock Market Co-movement∗
We analyze the effects that real-time domestic and foreign news about fundamentals have on the co-movement between stock returns of a small, open economy, Portugal, and a large economy, the United States. Studying co-movement between the US and a small, open economy helps overcome significant potential issues in the literature: (i) we avoid endogeneity biases; (ii) we increase the statistical p...
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ژورنال
عنوان ژورنال: The Journal of Business
سال: 1985
ISSN: 0021-9398,1537-5374
DOI: 10.1086/296282