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Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs. (2022). Izhakian, Yehuda ; Cookson, Anthony J ; Ben-Rephael, Azi.
In: SocArXiv.
RePEc:osf:socarx:ud7yw.

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  1. Public Information as a Source of Disagreement Among Shareholders. (2023). Xefteris, Dimitrios ; Pi, Shaoting ; Meirowitz, Adam ; Mace, Antonin ; Llorente-Saguer, Aniol ; Bouton, Laurent.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-04075483.

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  2. Public Information as a Source of Disagreement Among Shareholders. (2023). Xefteris, Dimitrios ; Macé, Antonin ; Meirowitz, Adam ; Mace, Antonin ; Llorente-Saguer, Aniol ; Bouton, Laurent ; Pi, Shaoting.
    In: PSE Working Papers.
    RePEc:hal:psewpa:halshs-04075483.

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References

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  1. (2017). In particular, we: (1) remove recommendation changes that occur on the same day as, or the day following, earnings announcements; (2) remove recommendation changes on days when multiple analysts issue recommendations for the same firm; (3) require at least one analyst who to have issued a recommendation for the stock and revised the recommendation within 180 calendar days; (4) require at least two analysts to have active recommendations for the stock as of the day before the revision; (5) consider a recommendation to be active for up to 180 days after it is issued or until I/B/E/S indicates that the analyst has stopped issuing recommendations for that stock. F8K A dummy variable equal to one on Form 8-K filing days for firm j and zero otherwise. Filing data are from WRDS SEC Suite. MACRO FOMC A dummy variable equals to one on days with an announcement of the Federal Open Market Committee rate decision, and zero otherwise. FOMC announcement dates are from Bloomberg.
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  2. A Appendix Estimating Equity Ambiguity The measure of ambiguity, denoted by ℧2 and defined by Equation (1), represents an expected probability-weighted average of the variances of probabilities. We follow the recent literature (e.g., Brenner and Izhakian, 2018; Augustin and Izhakian, 2020; Izhakian et al., 2021) and estimate the monthly degree of ambiguity for each firm’s equity using intraday stock return data from TAQ. To estimate ambiguity as implemented in Equation (8) below, the expectation of and the variation in return probabilities across the set of possible prior probability distributions, P, must be measured. We assume that the intraday equity return distribution for each time interval during the day in a given day represents a single prior distribution, P, in the set of possible distributions, P, and the number of priors in the set is assumed to depend on the number of time intrevals in the month.
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  50. Threats to Central Bank Independence: High-Frequency Identification with Twitter. (2019). Kung, Howard ; Kind, Thilo ; Bianchi, Francesco.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14021.

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