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• W4386268666 endingPage "412" @default.
• W4386268666 startingPage "390" @default.
• W4386268666 abstract "Stock price synchronicity is a critical consideration for asset allocation, risk assessment, and hedging decision. We present novel evidence that individual stock returns comove more persistently on certain days of the week. Specifically, we show that release of macroeconomic news on Mondays, which typically see fewer announcements, leads to such stronger comovement, and that this is distinct from the Monday effect typically discussed in the literature. This synchronicity is more pronounced among large, old and low volatility firms, in both up- and down-market conditions. We argue this effect is partly due to ‘simultaneous contrast’, i.e., perception of stimulus depending on its surrounding environment. Monday announcements have a larger impact just as thunder in a quiet night sounds louder. Our findings are robust after controlling for day-of-the-week effects, economic uncertainty, risk aversion, investor sentiment, short-selling constraints and proxies for attention to news." @default.
• W4386268666 created "2023-08-30" @default.
• W4386268666 creator A5022925625 @default.
• W4386268666 creator A5038062247 @default.
• W4386268666 creator A5045980074 @default.
• W4386268666 date "2023-09-01" @default.
• W4386268666 modified "2023-09-27" @default.
• W4386268666 title "Macroeconomic news and price synchronicity" @default.
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