The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being
subsumed by a broader approach based upon the psychology of investors. In this approach …

This paper studies the high frequency reaction of the DEM/USD exchange rate to publicly
announced macroeconomic information emanating from Germany and the US By using data …

Previous empirical studies on the “rationality” of economic and financial forecasts generally
test for generic properties such as bias or autocorrelated errors but provide only limited …

John Keynes made the notion of animal spirits a central part of economics in 1936.
However, recent financial literature is dominated by asset pricing models based on strict …

Previous research using daily returns finds conflicting evidence about the relationship
between unanticipated inflation (news) and stock returns. We explore the relationship by …

This paper examines the cross‐sectional implications of the inflation illusion hypothesis for
the post‐earnings‐announcement drift. The inflation illusion hypothesis suggests that stock …

We propose two explanations for the previously documented relation between aggregate
earnings growth and future inflation: one based on firms changing their investment in …

Abstract The sentiment, or “Tonality”, extracted from the narratives that accompany Federal
Reserve economic forecasts (in the Greenbook) is strongly correlated with future economic …

We analyze economists' forecasts of interest rates and exchange rates from the Wall Street
Journal. We find that a majority of economists produced unbiased forecasts but that none …

This paper investigates the link between information arrivals and intraday DEM/volatility.Informationarrivalsaremeasuredbythenumb…
.Weseparatenewsstoriesintodifferentcategor…,USandGermanmacroeconomicnewsandGe …