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"Supplemental Appendix," Review Of Economic Studies, Vol.85, No.4, Pp.2005-2041..pdf

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Preview of "Supplemental Appendix," Review of Economic Studies, Vol.85, No.4, pp.2005-2041.
🔗 Source: econ.duke.edu
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📄 Pages: 24 pages
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Summary

Figures and tables in the supplemental appendix show volume intensity and volume-volatility elasticities around public news announcements, including FOMC announcements, with and without using the DID method. The results indicate that the patterns seen in the main text are robust to changing the sampling frequency and highlight the importance of correcting the intraday U-shape pattern using the DID approach. The tables report raw estimates of volume-volatility elasticities, which are often negative, and estimates of explanatory variables in elasticity, including news-category dummy variables and disagreement measures. The results suggest that volume-volatility elasticities vary across different types of announcements and are affected by factors such as dispersion, weekly policy, and FOMC sentiment.

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Figures and tables in the supplemental appendix show volume intensity and volume-volatility elasticities around public news announcements, including FOMC...

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  • File Format: PDF
  • File Size: 284 KB
  • Pages: 24
  • Language: EN
  • Total Downloads: 50
  • Last Updated: 3 months ago

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