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Keywords: return volatility
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Journal Articles
Journal:
The Accounting Review
The Accounting Review (2022) 97 (6): 417–443.
Published: 01 October 2022
...Jacob K. Thomas; Frank Zhang; Wei Zhu ABSTRACT Disclosure is of fundamental interest to accounting research. When the sign/magnitude of disclosed news is unclear, the information in disclosure events is inferred using the ratio of return volatilities during event and non-event windows ( Beaver...