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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data

Georges Prat (), Remzi Uctum (), Sylvie Lecarpentier-Moyal () and Patricia Renou-Maissant ()

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Abstract: We analyze the persistence effects in the empirical relationship between announcement releases and return volatilities of four major companies of the French stock market using high frequency data over the period 1995-1999. Besides its institutional stability, this sample period avoids the econometric difficulties inherent to simultaneous news arrivals. Our approach contributes to the relevant literature in that we focus on individual stock volatilities rather than indices, we distinguish firm-specific and macroeconomic announcements, and we endogenize both the durations of announcement effects and the response patterns of equity prices. We find that our individual volatilities are affected by a systematic market effect, calendar effects, announcements related to the firms

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Date: 2017
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01549793
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Published in Review of Financial Economics, Elsevier, 2017, 35, pp.43-56

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Journal Article: Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data (2017) Downloads
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data (2017)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2014)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2014)
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2013) Downloads
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2013) Downloads
Working Paper: Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data (2013) Downloads
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