Details about Alexander Kurov

Access statistics for papers by Alexander Kurov.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pku378

Working Papers

2019

1. Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility
   MPRA Paper, University Library of Munich, Germany View citations (2)

2016

2. Price drift before U.S. macroeconomic news: private information about public announcements?
   Working Paper Series, European Central Bank View citations (16)
   Also in Boston College Working Papers in Economics, Boston College Department of Economics (2015) View citations (15)
   See also Journal Article Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2019) View citations (37) (2019)

2015

3. What do Chinese Macro Announcements Tell Us About the World Economy?
   Boston College Working Papers in Economics, Boston College Department of Economics View citations (25)
   See also Journal Article What do Chinese macro announcements tell us about the world economy?, Journal of International Money and Finance, Elsevier (2015) View citations (24) (2015)

Journal Articles

2022

1. Market inefficiencies surrounding energy announcements
   Journal of Futures Markets, 2022, 42, (1), 172-188 View citations (2)
2. The information content of the volatility index options trading volume
   Journal of Futures Markets, 2022, 42, (9), 1721-1737
3. When does the fed care about stock prices?
   Journal of Banking & Finance, 2022, 142, (C) View citations (4)

2021

4. The disappearing pre-FOMC announcement drift
   Finance Research Letters, 2021, 40, (C) View citations (6)

2020

5. Informational role of social media: Evidence from Twitter sentiment
   Journal of Banking & Finance, 2020, 121, (C) View citations (36)

2019

6. DO INVESTORS CARE ABOUT PRESIDENTIAL COMPANY‐SPECIFIC TWEETS?
   Journal of Financial Research, 2019, 42, (2), 213-242 View citations (12)
7. Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?
   Journal of Financial and Quantitative Analysis, 2019, 54, (1), 449-479 View citations (37)
   See also Working Paper Price drift before U.S. macroeconomic news: private information about public announcements?, Working Paper Series (2016) View citations (16) (2016)

2018

8. Monetary policy uncertainty and the market reaction to macroeconomic news
   Journal of Banking & Finance, 2018, 86, (C), 127-142 View citations (57)
9. Relief Rallies after FOMC Announcements as a Resolution of Uncertainty
   Journal of Empirical Finance, 2018, 49, (C), 1-18 View citations (14)
10. What drives informed trading before public releases? Evidence from natural gas inventory announcements
    Journal of Futures Markets, 2018, 38, (9), 1079-1096 View citations (7)

2016

11. Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?
    Journal of Futures Markets, 2016, 36, (12), 1210-1230 View citations (11)

2015

12. The Impact of Monetary Policy Surprises on Energy Prices
    Journal of Futures Markets, 2015, 35, (1), 87-103 View citations (44)
13. What do Chinese macro announcements tell us about the world economy?
    Journal of International Money and Finance, 2015, 59, (C), 100-122 View citations (24)
    See also Working Paper What do Chinese Macro Announcements Tell Us About the World Economy?, Boston College Working Papers in Economics (2015) View citations (25) (2015)

2014

14. Business cycle, storage, and energy prices
    Review of Financial Economics, 2014, 23, (4), 217-226 View citations (2)
    Also in Review of Financial Economics, 2014, 23, (4), 217-226 (2014) View citations (6)
15. Noisy Inventory Announcements and Energy Prices
    Journal of Futures Markets, 2014, 34, (10), 911-933 View citations (28)

2012

16. Trader Survival: Evidence from the Energy Futures Markets
    Journal of Futures Markets, 2012, 32, (9), 809-836 View citations (3)
17. What determines the stock market's reaction to monetary policy statements?
    Review of Financial Economics, 2012, 21, (4), 175-187 View citations (2)
    Also in Review of Financial Economics, 2012, 21, (4), 175-187 (2012) View citations (28)

2010

18. Estimating earnings trend using unobserved components framework
    Economics Letters, 2010, 107, (1), 55-57
19. Investor sentiment and the stock market's reaction to monetary policy
    Journal of Banking & Finance, 2010, 34, (1), 139-149 View citations (169)

2008

20. INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E‐MINI INDEX FUTURES
    Journal of Financial Research, 2008, 31, (3), 247-270 View citations (3)
21. Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets
    The Financial Review, 2008, 43, (1), 107-127 View citations (74)
22. Macroeconomic cycles and the stock market's reaction to monetary policy
    Journal of Banking & Finance, 2008, 32, (12), 2606-2616 View citations (138)
23. Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
    Journal of Futures Markets, 2008, 28, (9), 871-888 View citations (8)

2006

24. Trading around macroeconomic announcements: Are all traders created equal?
    Journal of Financial Intermediation, 2006, 15, (4), 470-493 View citations (22)

2005

25. Execution quality in open‐outcry futures markets
    Journal of Futures Markets, 2005, 25, (11), 1067-1092 View citations (2)
26. Is it time to reduce the minimum tick sizes of the E‐mini futures?
    Journal of Futures Markets, 2005, 25, (1), 79-104 View citations (10)

2004

27. Price Dynamics in the Regular and E-Mini Futures Markets
    Journal of Financial and Quantitative Analysis, 2004, 39, (2), 365-384 View citations (39)

2002

28. The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship
    Journal of Futures Markets, 2002, 22, (3), 197-218 View citations (8)