We examine the relation between weather in New York City and intraday returns and trading
patterns of NYSE stocks. While stock returns are found to be generally lower on cloudier …

I present evidence of predictability in a sample constructed to minimize concerns about time-
varying risk premia and market-microstructure effects. I use filter rules on lagged return and …

We study the association between weather-related mood factors and stock index returns in
an order-driven market, the Shanghai Stock Exchange (SSE) of China. Our results indicate …

This paper evaluates the relationships between weather variables like humidity,
temperature, air pressure, wind speed and status (clear, cloud, rain, haze and snow) with …

We observe intraday price reversals following large price changes at the opening of the S&P
500 Futures market and the HSI Futures market. We note that the magnitude of subsequent …

This paper investigates the impact of the opening of US stock markets on the German stock
market. Quantiles of the S&P 500 return distribution are used to distinguish good, bad, and …

This paper gives a long-term assessment of intraday price reversals in the US stock index
futures market following large price changes at the market open. We find highly significant …

I hypothesize that post-event price behavior following large one-day price shocks is related
to pre-event price and firm fundamental characteristics, and that these characteristics proxy …

This article examines the relation between systematic price changes and the heterogeneity
of investors' information sets in real estate asset markets. The empirical implications rely on …

This paper documents significant 5-day, 10-day and 20-day cumulative abnormal returns
following large one-day advances/declines in some Asian emerging stock markets, such as …