tag:blogger.com,1999:blog-582368152716771238.post1163773830134091354..comments2024-03-28T14:41:03.793-05:00Comments on The Grumpy Economist: NBER Asset Pricing conferenceJohn H. Cochranehttp://www.blogger.com/profile/04842601651429471525noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-582368152716771238.post-41614479622920291322012-11-01T01:18:34.792-05:002012-11-01T01:18:34.792-05:00I think most likely you will see a drift according...I think most likely you will see a drift according to the content of the announcement. For example the launch of QE3 this Sept. lead to a continuous spike extending to the next trading day.Jiasun Lihttp://www.anderson.ucla.edu/x36570.xmlnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-34650463658445369562012-11-01T01:12:18.208-05:002012-11-01T01:12:18.208-05:00I think David and Emanuel have done a great job. A...I think David and Emanuel have done a great job. Actually their conclusion is very much in line with conventional wisdom. FOMC meeting is one of the many information-intense events that account for most of stock market returns. I believe this is why we see return fat-tails. I've been working on a paper addressing issues somewhat related to this phenomenon but using different market events. I expect it to come out soon so that we can have a comparative study. Jiasun Lihttp://www.anderson.ucla.edu/x36570.xmlnoreply@blogger.comtag:blogger.com,1999:blog-582368152716771238.post-69135851393472479362012-10-31T19:00:42.142-05:002012-10-31T19:00:42.142-05:00What happens on the day after the announcements?What happens on the day after the announcements?kyle8https://www.blogger.com/profile/13299846346032212714noreply@blogger.com