메뉴 건너뛰기




Volumn 60, Issue 2, 2005, Pages 649-672

The stock market's reaction to unemployment news: Why bad news Is usually good for stocks

Author keywords

[No Author keywords available]

Indexed keywords


EID: 16244368074     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2005.00742.x     Document Type: Article
Times cited : (445)

References (21)
  • 1
    • 0001776839 scopus 로고
    • Output, the stock market, and interest rates
    • Blanchard, Olivier J., 1981, Output, the stock market, and interest rates, American Economic Review 71, 132-143.
    • (1981) American Economic Review , vol.71 , pp. 132-143
    • Blanchard, O.J.1
  • 3
    • 21344494706 scopus 로고
    • Where do betas come from? Asset price dynamics and the sources of systematic risk
    • Campbell, John Y., and Jianping Mei, 1993, Where do betas come from? Asset price dynamics and the sources of systematic risk, Review of Financial Studies 6, 567-592.
    • (1993) Review of Financial Studies , vol.6 , pp. 567-592
    • Campbell, J.Y.1    Mei, J.2
  • 4
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, Nai-fu, Richard Roll, and Stephen A. Ross, 1986, Economic forces and the stock market, Journal of Business 46, 529-554.
    • (1986) Journal of Business , vol.46 , pp. 529-554
    • Chen, N.-F.1    Roll, R.2    Ross, S.A.3
  • 5
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, Wayne E., and Campbell Harvey, 1993, The risk and predictability of international equity returns, Review of Financial Studies 6, 527-526.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-1526
    • Ferson, W.E.1    Harvey, C.2
  • 6
    • 0009888594 scopus 로고    scopus 로고
    • Conditioning variables and the cross-section of stock returns
    • Ferson, Wayne E., and Campbell R. Harvey, 1999, Conditioning variables and the cross-section of stock returns, Journal of Finance 54(4), 1325-1360.
    • (1999) Journal of Finance , vol.54 , Issue.4 , pp. 1325-1360
    • Ferson, W.E.1    Harvey, C.R.2
  • 7
    • 0040791679 scopus 로고
    • Do arbitrage pricing models explain the predictability of stock returns?
    • Kellogg Graduate School of Management, Northwestern University
    • Ferson, Wayne E., and Robert Korajczyk, 1993, Do arbitrage pricing models explain the predictability of stock returns? Working paper, Kellogg Graduate School of Management, Northwestern University.
    • (1993) Working Paper
    • Ferson, W.E.1    Korajczyk, R.2
  • 8
    • 0042790557 scopus 로고    scopus 로고
    • The term structure of announcement effects
    • Federal Reserve Bank of New York
    • Fleming, Michael J., and Eli M. Remolona, 1998, The term structure of announcement effects, Working paper, Federal Reserve Bank of New York.
    • (1998) Working Paper
    • Fleming, M.J.1    Remolona, E.M.2
  • 9
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton, James D., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econornetrica 57, 357-384.
    • (1989) Econornetrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 10
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, Campbell R., 1989, Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics 24, 289-318.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-318
    • Harvey, C.R.1
  • 11
    • 0040844856 scopus 로고    scopus 로고
    • Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market
    • Jagannathan, Ravi, Keiichi Kubota, and Hitoshi Takehara, 1998, Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market, Journal of Business 71, 319-347.
    • (1998) Journal of Business , vol.71 , pp. 319-347
    • Jagannathan, R.1    Kubota, K.2    Takehara, H.3
  • 12
    • 0011797780 scopus 로고    scopus 로고
    • The declining U.S. equity premium
    • Federal Reserve Bank of Minneapolis
    • Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina, 2000, The declining U.S. equity premium, Quarterly Review, Federal Reserve Bank of Minneapolis, 24, 3-19.
    • (2000) Quarterly Review , vol.24 , pp. 3-19
    • Jagannathan, R.1    McGrattan, E.R.2    Scherbina, A.3
  • 13
    • 0012237250 scopus 로고
    • The CAPM is alive and well
    • Federal Reserve Bank of Minneapolis
    • Jagannathan, Ravi, and Zhenyu Wang, 1993, The CAPM is alive and well, Staff Report #165, Federal Reserve Bank of Minneapolis.
    • (1993) Staff Report #165 , vol.165
    • Jagannathan, R.1    Wang, Z.2
  • 14
    • 0038000237 scopus 로고    scopus 로고
    • Do markets respond more to more reliable labor market data? A test of market rationality
    • Krueger, Anne B., 1996, Do markets respond more to more reliable labor market data? A test of market rationality, NBER Working paper 5769.
    • (1996) NBER Working Paper , vol.5769
    • Krueger, A.B.1
  • 15
    • 0001122260 scopus 로고    scopus 로고
    • What is the intrinsic value of the Dow?
    • Lee, Charles M. C., James Myers, and Bhaskaran Swaminathan, 1999, What is the intrinsic value of the Dow? Journal of Finance 54 (5), 1693-1741.
    • (1999) Journal of Finance , vol.54 , Issue.5 , pp. 1693-1741
    • Lee, C.M.C.1    Myers, J.2    Swaminathan, B.3
  • 16
    • 0038405449 scopus 로고    scopus 로고
    • Valuing the Dow: A bottom-up approach
    • Lee, Charles M. C., and Bhaskaran Swaminathan, 1999, Valuing the Dow: A bottom-up approach, Financial Analyst Journal September/October, 4-23.
    • (1999) Financial Analyst Journal , Issue.SEPTEMBER-OCTOBER , pp. 4-23
    • Lee, C.M.C.1    Swaminathan, B.2
  • 17
    • 21344488530 scopus 로고
    • Stock prices, news, and business condition
    • McQueen, Grant, and Vance V. Roley, 1993, Stock prices, news, and business condition, Review of Financial Studies 6, 683-707.
    • (1993) Review of Financial Studies , vol.6 , pp. 683-707
    • McQueen, G.1    Roley, V.V.2
  • 18
    • 43549096463 scopus 로고
    • Are economic time series asymmetric over the business cycle?
    • Neftci, Salih N., 1984, Are economic time series asymmetric over the business cycle? Journal of Political Economy 92, 307-328.
    • (1984) Journal of Political Economy , vol.92 , pp. 307-328
    • Neftci, S.N.1
  • 19
    • 84942125252 scopus 로고
    • When good news is bad news: Macroeconomic news and the stock market
    • Board of Governors of the Federal Reserve System
    • Orphanides, Athanasios, 1992, When good news is bad news: Macroeconomic news and the stock market, Working paper, Board of Governors of the Federal Reserve System.
    • (1992) Working Paper
    • Orphanides, A.1
  • 20
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators
    • J. Olivier and Stanley Fisher, eds.: Cambridge, Massachusetts
    • Stock, James, and Mark Watson, 1989, New indexes of coincident and leading economic indicators, in J. Olivier and Stanley Fisher, eds.: NBER Macroeconomics Annual 1989, Cambridge, Massachusetts.
    • (1989) NBER Macroeconomics Annual 1989
    • Stock, J.1    Watson, M.2
  • 21
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: A rational expectations equilibrium model
    • Veronesi, Pietro, 1999, Stock market overreaction to bad news in good times: A rational expectations equilibrium model, Review of Financial Studies 12, 975-1007.
    • (1999) Review of Financial Studies , vol.12 , pp. 975-1007
    • Veronesi, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.