The US economy is currently experiencing a period of signifi-cant financial stress. This
stress has contributed to the downturn in the economy by boosting the cost of credit and …

This paper examines whether the" soft" information contained in the text of management's
quarterly earnings press releases is incrementally informative over the company's reported" …

We build on the intuitive, albeit overlooked, relationship between investor attention and
investor sentiment to explore the open question of the impact of investor sentiment on …

The literature documents a heterogeneous asset price response to macroeconomic news
announcements. We relate this heterogeneity to a novel measure of the intrinsic value of an …

I show that an empirical relation exists between stock returns on macroeconomic news
announcement days and the future revisions of the released data but that this link differs …

We use clickstream data to show that investors' demand for information about
macroeconomic factors affecting the path of future interest rates is a measure of their …

This study examines the effect of oil and gas inventory announcements on energy prices.
Previous estimates of this effect suffer from bias due to measurement error in inventory …

Although the effects of economic news announcements on asset prices are well established,
these relationships are unlikely to be stable. This paper documents the time variation in the …

This paper examines the relative information shares of the Bund, ie the 10-year Euro bond
future contract on German sovereign debt, versus two futures with shorter maturity. We find …

We investigate analyst forecasts in a unique setting, the natural gas storage market, and
study the contribution of analysts in facilitating price discovery in futures markets. Using a …