Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

President Chosen

A special meeting of several Founders Committee members took place at Arthur A. Schmon's House in Niagara on the Lake immediately after the announcement in September of 1963 that Dr. James Alexander Gibson would be the first president of Brock University as of January 1964. Pictured here from left to right are: Dr. Gibson, Dr. Schmon, Dr. Deeks, and Mr. Willmot.

President Chosen

A special meeting of several Founders Committee members took place at Arthur A. Schmon's House in Niagara on the Lake immediately after the announcement in September of 1963 that Dr. James Alexander Gibson would be the first president of Brock University as of January 1964. Pictured here from left to right are: Mr. W. B. C. Burgoyne, Mr. D. G. Willmot, Dr. J. A. Gibson, Dr. A. A. Schmon, Mr. E. J. Barbeau, Dr. S. H. Deeks, and Mr. C. W. Morehead.

President Chosen

A special meeting of several Founders Committee members took place at Arthur A. Schmon's House in Niagara on the Lake immediately after the announcement in September of 1963 that Dr. James Alexander Gibson would be the first president of Brock University as of January 1964. Pictured here from left to right are: Mr. Willmot, Dr. Gibson, Dr. Schmon, and Dr. Deeks.

Cues to action : do they result in belief and behavioural change in women?

With incidence rates of osteoporosis increasing (Osteoporosis Canada, 2007), preventative efforts to minimize costs associated with condition diagnosis are a public health priority. Cues to action are specific internal (e.g., physical symptoms, family member with a condition) or external stimuli (e.g., public service announcements, health education campaigns) that are necessary to trigger appropriate health behaviours and serve to create an awareness of the health threat (Mattson, 1999). To date, limited understanding of the scope of influence cues to action have on health beliefs and behaviour associated with osteoporosis is known. The present investigation was designed to address this gap in the literature. More specifically, the influence of cues to action, a public service announcement (PSA) developed by Osteoporosis Canada and a bone screening by way of Quantitative Ultrasound, on health beliefs and health-enhancing physical activity (HEPA) across a four week period was investigated. Peri-and postmenopausal women (N= 174) were randomly assigned to one of three conditions 1) an osteoporosis public service announcement (PSA) condition; 2) a bone screening condition via quantitative ultrasound techniques, and 3) a PSA attention control condition. Health beliefs associated with osteoporosis were taken at three time points: prior to the cue to action intervention, immediately following the intervention, and four weeks post intervention. Knowledge of osteorporosis risk factors and HEP A were assessed pre and post-intervention only. Results of a regression analysis suggested that baseline health beliefs predicted baseline HEPA (R2 adj = .24; F (9, 161) = 6.49,p = .000; 95% CI = .12 - .35) with exercise barriers (p = -.33) being a negative predictor and health motivation (p = .21) being a positive predictor of HEP A. Baseline health beliefs predicted With incidence rates of osteoporosis increasing (Osteoporosis Canada, 2007), preventative efforts to minimize costs associated with condition diagnosis are a public health priority. Cues to action are specific internal (e.g., physical symptoms, family member with a condition) or external stimuli (e.g., public service announcements, health education campaigns) that are necessary to trigger appropriate health behaviours and serve to create an awareness of the health threat (Mattson, 1999). To date, limited understanding of the scope of influence cues to action have on health beliefs and behaviour associated with osteoporosis is known. The present investigation was designed to address this gap in the literature. More specifically, the influence of cues to action, a public service announcement (PSA) developed by Osteoporosis Canada and a bone screening by way of Quantitative Ultrasound, on health beliefs and health-enhancing physical activity (HEPA) across a four week period was investigated. Peri-and postmenopausal women (N= 174) were randomly assigned to one of three conditions 1) an osteoporosis public service announcement (PSA) condition; 2) a bone screening condition via quantitative ultrasound techniques, and 3) a PSA attention control condition. Health beliefs associated with osteoporosis were taken at three time points: prior to the cue to action intervention, immediately following the intervention, and four weeks post intervention. Knowledge of osteorporosis risk factors and HEP A were assessed pre and post-intervention only. Results of a regression analysis suggested that baseline health beliefs predicted baseline HEPA (R2 adj = .24; F (9, 161) = 6.49,p = .000; 95% CI = .12 - .35) with exercise barriers (p = -.33) being a negative predictor and health motivation (p = .21) being a positive predictor of HEP A. Baseline health beliefs predicted

The Bee

Newspaper reporting on contemporary events of the wars in North America and Europe including the Battle of Queenston Heights and the death of Isaac Brock. News items include: Page 1: Sheaffe announcement regulating the sale of alcohol in Niagara; Myers announcement asking citizens for the return of American muskets recovered from the battle at Queenston; local notices on business claims and education; want ads for wood, straw, flour and pork for military use; announcement by the Prince Regent in Council putting an embargo on American ships. Page 2: release of American prisoners captured at Queenston; results of a battle by Riga, Latvia the French army under MacDonald against Russia; address of Emperor Alexander I of Russia to troops on declaring war on France; news of the British Navy; mediation between Spain and South American colonies; the security of Canadian properties in wartime; American ships leaving Britain with licenses. Page 3: American ships leaving Britain with licenses; Russian General Platoff’s (Platov) victory over Polish Uhlans; Battle of Salamanca with Lord Wellington. Page 4: report on the Battle of Queenston Heights and the death of Isaac Brock.

Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices

Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these abnormal returns are permanent or temporary and offer competing explanations. I address this controversy by examining market reactions for firms that are added to or deleted from the FTSE Small Cap index (the main testing sample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing sample, all stocks except pure additions, experience a permanent price change that is accompanied by a permanent change in liquidity. However, for the comparison sample, abnormal returns over the announcement period fully reverted within 30 days. In further examination of stock liquidity for the main testing sample, sample stocks experience permanent change in liquidity. Taken together, the observed results support the price pressure and liquidity hypotheses.

Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.

Merrimack Intelligencer Vol. 5 No. 48

This was a weekly paper that was published every Saturday. The motto of the Merrimack was: "Not too rash--Yet not fearful--We aim to be just." It was published from 1808-1817. Topics of interest include: Page 1: State of New York Republicans published a statement arguing against the war and the policies of John Adams and James Madison; account of the capture of York by the Americans, 27 April 1813; Page 2: account of the capture of York by the Americans, 27 April 1813; letter from American Brig. Gen. Henry Miller to Sir John B. Warren warning the British not to execute captured U.S. citizen O'Neal; response from Sir John B. Warren to Brig. Gen. Henry Miller stating that O'Neal had been released; account of Stephen Girard buying back his ransomed ship from the British; Page 3: account of Stephen Girard buying back his ransomed ship from the British; U.S. General Harrison repels British and Indian forces that attack Fort Meigs; account of British forces capturing U.S. privateer ship Alexander; report of British forces near Newport, New York, the Delaware river, and the Potomac River; report of Indian attacks in Kaskaskia, Randolph County; report of a boat load of provisions attacked by Indians near Fort Harrison; Commodore Isaac Chauncey arrived at Sacket's Harbor to unload stores taken from York before leaving for Niagara to commence attack against Fort George; U.S. Army announcement recruiting men 18 to 45 years of age to enlist in the army;

Boston Patriot Vol. 8 No. 13- October 24, 1812

A semi-weekly paper that began in 1809 and ceased in 1816. Its succeeding title was the Boston Patriot and Morning Advertiser. Publishers included: Everett and Munroe, 1809-Mar. 7, 1810; Isaac Munroe, Mar. 10, 1810-May 1, 1811; Munroe and French, May 4, 1811-1813; D.C. Ballard, 1814-1816. Editor: David Everett, Mar. 10, 1810-Oct. 23, 1811. Topics of interest include: Page 1: announcement of war against Great Britain and the reasons for the war; Page 2: announcement of nomination of war supporter Francis Carr for Congress; Statement of the Senate of Massachusetts in support of the war; 3 accounts of the American attack on Queenston; Page 3: report of the movement of war ships in and out of the port of Boston; news of naval movements by American and British ships; Page 4: advertisement of American and British muskets and swords for sale;

Baltimore Patriot and Evening Advertiser Vol. 3 No. 89- April 15, 1814

This daily paper, except Sundays, began publication on August 17, 1813 and ceased April 30, 1817. It was also published tri-weekly for a "COUNTRY" edition. The paper later became the Baltimore Patriot. Topics of interest include: Page 1: announcement Capt. M. Simmones Burnbury is seeking men to form a company of Sea Fencibles; Page 2: U.S. Legislature authorizes bill to increase the Marine Corps; U.S. Legislature authorizes bill to purchase vessels captured on Lake Erie; U.S. Senate bill authorizes the appointment of officers for the flotilla service; President of United States authorized to accept service of volunteer corps for defence of United States; Letter from Capt. A. H. Holmes to Lieut. Col. Butler detailing an American victory over the British near Detroit; announcement of British forces building barges for the purpose of attacking Detroit; War sloop Erie returns to Baltimore unable to reach sea due to British forces in the Chesapeake; Page 3: Death notice of Mr. Ward Fairchild of the U.S. Army; Page 4: Commander of the U.S. Flotilla seeks men for the Chesapeake Flotilla.

The Bee Newspaper, Vol. I, No. 13

An original Niagara area newspaper containing an account of the Battle of Queenston Heights and the death and burial of Sir Isaac Brock. The newspaper is dated October 24, 1812, eleven days after the death of General Brock. Topics of interest include: Page 1: Sheaffe announcement regulating the sale of alcohol in Niagara; Myers announcement asking citizens for the return of American muskets recovered from the battle at Queenston; local notices on business claims and education; want ads for wood, straw, flour and pork for military use; announcement by the Prince Regent in Council putting an embargo on American ships. Page 2: release of American prisoners captured at Queenston; news of the British Navy; the security of Canadian properties in wartime; American ships leaving Britain with licenses. Page 3: American ships leaving Britain with licenses Page 4: report on the Battle of Queenston Heights and the death of Isaac Brock.

The New York Weekly Museum Newspaper, Vol. II, No.25- October 23, 1813

A weekly paper that was published from 1805 to 1814. War related news includes: Page 99 - Weekly Retrospect: American report on British naval movements near Louisiana; General William Harrison reports on: a victory at Moravian Town (Moraviantown) on October 5; Ottawas, Chippewas, Wyandots Miamies and Delaware First Nations (Indians) leaving the British side; Tecumseh remaining with the British; American army and navy attempt for a reduction of Mackinac and St. Joseph's; Colonel Chapin attacking a British picket guard near Fort George on October 6; Report that the British have abandoned the Fort George area for Kingston and is being pursued by General McClure; Forces in Sackett's Harbour ready for an attach on Canada; General Provost believed to have left Kingston for Montreal with 1000 men; Report from Burlington (Lake Champlain) of an attack on St. Armands against Colonel Clark on October 15; Report of the American's taking of the Packet Morgiana by the Schooner Saratoga under Captain Adderton by Newport; Announcement by the New York City Common Council for a celebration of Perry and Harrison's victories on the evening of October 23. The rest of the newspaper contains literary works (poems and translations), marriages, deaths and other anecdotes. The motto on the front page states: "Visiting Every Flower with Labour Meet, and Gathering all its Treasures, Sweet by Sweet."

National Intelligencer Vol. XVI, No. 2193- October 15, 1814

The Intelligencer was an American newspaper that was established, in 1800, in Washington by Samuel Harrison Smith, a young Jeffersonian- Republican from Philadelphia. War of 1812 related content includes: Page 1: Major General Winfield Scott's arrival in Washington escorted by Colonel Laval's cavalry; report from Sackett's Harbour on the American and British navies; a debate on a bill to temporarily remove the seat of government from the City of Washington due to the war; the Military Committee wishing to have the President commission gold medals for distinguished service for Major Generals Brown and Scott and silver medals to Brigadier Generals Ripley, Miller and Porter for their efforts at Chippewa, Erie and Niagara as well as gold medals to Brigadier General Gaines for efforts at Erie and Brigadier General Macomb for efforts at Plattsburg; resolutions of the House on the victory of Commodore Thomas Macdonough at the Battle on Lake Champlain; Page 2: more detail on the proposed removal of the seat of government from Washington; Page 3: a letter from Major General Andrew Jackson to the Secretary of War on repelling the British at Fort Bowyer on the Point of Mobile and naval battle reports on the vessels Hermes, Sophie, and Carron; a letter from Major William Lawrence to Andrew Jackson on the battle at Fort Bowyer; military promotions of Alexander Macomb, Roger Jones, J. Hindman; more on the removal of the seat of government; citizens of Washington offering to volunteer in defense of the city; banks willing to loan the government funds to re-build destroyed government buildings; assignments of Major General Scott, General Winder and Major General Gaines; report of 300 British prisoners from Fort Erie passed through Washington; Montreal newspaper report condemning Provost for his actions at the Battle of Lake Champlain; trouble with stage coaches traveling between New Haven and Bridgeport due to cannon fire; report of a British naval squadron appearing off New Port and by Long Island and New Bedford; report of enemy naval movements from Norfolk; announcement of a book entitled "A Narrative of the Battle of Bladensburg" by and officer of General Smith; Page 4: report on the amassing navy at Kingston under Drummond and the defenses at Sackett's Harbor; report of American and British naval news from Nova Scotia and the east coast; actions of the American sloop of war, The Peacock, in international waters; an enlistment announcement by Captain Perrin Willis of the 2nd Regiment Infantry; listing of American officers and privates released from parole on October 13; Other notices report on stray horses, properties for sale, runaway slaves, imprisonments, missing livestock, medical lectures at the University of Maryland, stage lines, auctions, etc. The paper was a supporter of the Jefferson and Madison administrations until 1810 when it was sold to Joseph Gales Jr. from North Carolina. In 1812 William Seaton joined Gales as a publishing partner. This paper made significant contributions to the nation and wielded considerable influence in political circles during its publication. It has been praised for its "high standard of journalistic excellence and high intellectual level of its contents". (William E. Ames , National Intelligencer: Washington's Leading Political Newspaper) The Intelligencer was, until 1810, named the National Intelligencer, and Washington Advertiser. It was a tri-weekly paper and had a peak circulation of 6, 000. Publication was suspended in 1869.

Independent Chronicle Vol. XLVI No. 2476- August 4, 1814

A semi-weekly paper that was published from 1801 to 1817. It was previously called the Independent chronicle and the universal advertiser, and was later the Independent chronicle and Boston patriot (Semiweekly). Publishers were Abijah Adams and Ebenezer Rhoades. Topics of interest in this issue include: Page 1: Proclamation from James Madison pardoning military deserters if they return to military service; announcement to officers and soldiers in the military offering reward for the return of military deserters; U.S. General W. Scott's account of the battle of Chippewa; U.S. General P. B. Porter's account of the battle of Chippewa; Major J. Hindman's account of the battle of Chippewa; news of British war ships attacking and capturing U.S. cargo ships; Page 2: news of a soldier shot for desertion; military news from Erie, Pennsylvania; New York appropriates money to pay troops and build two encampments; James Madison issues orders for state of Rhode Island to raise a militia of 500 troops; U.S. military news from Bermuda; report of the death of Capt. Parker of the U.S. ship Syren; account of the battle of Chippewa and a list of important officers wounded; report of a raft captured that was taking supplies to the British; report of U.S. General Brown being wounded in battle; list of further details of the battle of Chippewa; report of Indian attack near Champlain; news of prisoner exchange and announcement that exchanged prisoners should return to their regiments; listing of the total number of British forces in the U.S.; report of British shipwrecks; Naval news for the Port of Boston; news of various U.S. war ships; Page 4: Marshal's notice announcing a trial for members of a private American ship accused of supplying the British with provisions;