Selected research from Capital Markets Institute Affiliates
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
(joint with Yoontae Jeon and Xiaofei Zhao), Journal of Financial Economics, In Press.
Bull and bear markets during the COVID-19 pandemic
(joint with John Maheu and Yong Song), Finance Research Letters, October 2021.
‘Do jumps contribute to the dynamics of the equity premium?
(with Maheu and Zhao), Journal of Financial Economics, Vol 110, Issue 2.
Components of Market Risk and Return
(with Maheu), Journal of Financial Econometrics, Vol. 5, No. 4
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
(joint with Maheu), The Journal of Finance, Vol. LIX, No. 2
Rotman School of Management
105 St. George Street,
Toronto, Ontario M5S 3E6
+1 (416) 978-5703
GET IN TOUCH
All our programs
Meet our Faculty
News and Media
Learn about Toronto
Rotman Connect (Alumni)
Milt Harris Library