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81.
Thomas Gilbert 《Journal of Financial Economics》2011,101(1):114-131
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 across the business cycle. Using three major macroeconomic series that undergo significant revisions (nonfarm payroll, gross domestic product, and industrial production), I present evidence that daily returns on the Standard & Poor's 500 index and revisions are positively related in expansions and negatively related in recessions. The results suggest that revisions do matter, i.e., that investors care about the final revised value of a macroeconomic series, that they infer accurate information from the release of the preliminary inaccurate report, and that the more precise information is aggregated into prices on the day of the initial announcement. The results are consistent with the predictions of rational expectations trading models around public announcements combined with well-established empirical results on the asymmetric interpretation of information across the business cycle. 相似文献
82.
What drives informed trading before public releases? Evidence from natural gas inventory announcements
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This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre‐announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26. 相似文献
83.
《International Journal of Forecasting》2021,37(4):1691-1709
In this paper we examine the predictive power of the heterogeneous autoregressive (HAR) model for the return volatility of major European government bond markets. The results from HAR-type volatility forecasting models show that past short- and medium-term volatility are significant predictors of the term structure of the intraday volatility of European bonds with maturities ranging from 1 year up to 30 years. When we decompose bond market volatility into its continuous and discontinuous (jump) component, we find that the jump component is a significant predictor. Moreover, we show that feedback from past short-term volatility to forecasts of future volatility is stronger in the days that precede monetary policy announcements. 相似文献
84.
This article evaluates the effect of central bank announcements on government securities yields in emerging economy. In particular, based on the Colombian experience, we present empirical evidence to address the effect of credibility scenario in which the central bank announcements are made. The findings denote that credibility performance must be taken into account to verify the impact of monetary policy announcements. 相似文献
85.
We first document that both buying and selling by individual investors before earnings announcements are negatively correlated with post-event abnormal returns using a unique dataset that allows us to precisely identify individual investor trading. Next, we show that both buying and selling by individual investors before earnings announcements not only are positively associated with contemporaneous returns, but also respond positively to past returns. This is consistent with the idea that individual investors act as liquidity providers (demanders) when they sell (buy) before earnings announcements. Individual investor buying and individual investor selling after earnings announcements confirm this point. 相似文献
86.
Cameron Truong 《Accounting & Finance》2012,52(Z1):403-432
We compute abnormal return variance and abnormal trading volume in the 3‐day window surrounding earnings announcements to examine the information content of earnings announcements in the New Zealand equity market over the past 16 years. We find that the information content of earnings announcements has increased significantly over time, and this finding holds true for both interim and preliminary earnings announcements. We find evidence that earnings announcements with June year‐ends exhibit a higher level of information content and experience a more pronounced rising trend as compared to earnings announcements with non‐June year‐ends. Several firm characteristics appear to relate to the level of the information content of earnings announcements as well as to compound the trend over time. We document an important finding that the information content of earnings announcements increases remarkably in the period after the adoption of the International Financial Reporting Standards (IFRS). 相似文献
87.
In the current study, we identify the announcements that trigger substantial changes in the behaviour of the 10-year US Treasury market, without using the surprise component and, therefore, expectational data. We use a novel model-free approach based on extreme market movements related to price returns, volatility and traded volumes. Our findings corroborate those of previous studies, which were based on expectational data. More importantly, though, we identify two additional announcements (Oil Inventories and the Mortgage Applications), which have not been previously reported. These findings are primarily important to financial analysts and investors. 相似文献
88.
This study provides empirical evidence on factors that drive differential interpretation of earnings announcements. We document that Kandel and Pearson's forecast measures of differential interpretation are decreasing in proxies for earnings quality and pre‐announcement information quality. This evidence yields new and useful insights regarding which earnings announcements are less likely to generate newfound disagreement among analysts and investors. Recent research suggests that investor disagreement can increase investment risk, increase the cost of capital, and cause stock prices to deviate from fundamental value. Therefore, our results support prior intuition that increasing the quality of earnings and pre‐announcement information can improve the efficiency of capital markets. 相似文献
89.
We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity-index-linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as 3 min before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre-market hours relative to regular trading hours. 相似文献
90.
This paper concerns the effects of macroeconomic announcements on the covariance structure of US government bond returns for six different maturities; the study shows that the conditional variances, covariances, and correlation coefficients are significantly greater on announcement days. On non-announcement days, the correlation coefficients are relatively large and are greater the closer the bonds are with respect to the time to maturity. The maturity dependency is substantially dampened on announcement days and, hence, releases of macroeconomic news induce common movement in the government bond market that strengthen the correlations. 相似文献