Alexander Kurov

West Virginia University - College of Business & Economics

Dr.

P.O. Box 6025

Morgantown, WV 26506

United States

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 7,017

in Total Papers Downloads

6,555

SSRN CITATIONS
Rank 9,297

SSRN RANKINGS

Top 9,297

in Total Papers Citations

43

CROSSREF CITATIONS

67

Scholarly Papers (27)

1.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Michigan State University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 687 (38,141)
Citation 2

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index options, order flow, information, market efficiency

Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 30 Jul 2015 Last Revised: 10 Nov 2017
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics, European Central Bank (ECB) - Directorate General Research and Skidmore College - Department of Economics
Downloads 396 (75,854)
Citation 1

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Macroeconomic news announcements, financial markets, pre-announcement effect, drift, informed trading

Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

ECB Working Paper No. 1901
Number of pages: 68 Posted: 12 May 2016
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics, European Central Bank (ECB) - Directorate General Research and Skidmore College - Department of Economics
Downloads 257 (122,776)
Citation 3

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Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading

3.

Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy

Number of pages: 33 Posted: 13 Feb 2008
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 498 (57,979)
Citation 7

Abstract:

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Monetary policy, stock market, business cycle, credit channel

4.

Do Investors Care about Presidential Company-Specific Tweets?

Journal of Financial Research, Forthcoming
Number of pages: 47 Posted: 15 Jun 2017 Last Revised: 30 Aug 2018
Qi Ge, Alexander Kurov and Marketa Wolfe
Vassar College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 476 (61,299)
Citation 2

Abstract:

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Twitter, Company-Specific Tweets, President Trump, Stock Price, Trading Volume, Volatility, Investor Attention, Event Study

5.

Investor Sentiment and the Stock Market’s Reaction to Monetary Policy

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 08 Jul 2009 Last Revised: 08 Jun 2011
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 463 (63,456)
Citation 5

Abstract:

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Monetary policy, Stock market, Investor sentiment

Price Dynamics in the Regular and E-Mini Futures Markets

Number of pages: 38 Posted: 07 May 2003
Alexander Kurov and Dennis Lasser
West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management
Downloads 429 (68,902)
Citation 8

Abstract:

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Futures, Electronic trading, Exchange locals, Price discovery

Price Dynamics in the Regular and E-Mini Futures Markets

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 07 May 2003
Alexander Kurov and Dennis Lasser
West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management

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Futures, Electronic trading, Exchange locals, Price discovery

7.

The Disappearing Pre-FOMC Announcement Drift

Number of pages: 9 Posted: 07 Mar 2018 Last Revised: 19 Nov 2019
Alexander Kurov, Marketa Wolfe and Thomas Gilbert
West Virginia University - College of Business & Economics, Skidmore College - Department of Economics and University of Washington - Department of Finance and Business Economics
Downloads 372 (82,316)
Citation 5

Abstract:

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FOMC; Announcements; Drift; Press Conferences

8.

What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements

Journal of Futures Markets, Forthcoming
Number of pages: 43 Posted: 21 Aug 2016 Last Revised: 29 Mar 2018
Chen Gu and Alexander Kurov
Shanghai Business School - Research Center of Finance and West Virginia University - College of Business & Economics
Downloads 345 (89,759)
Citation 4

Abstract:

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Natural gas futures, Inventory announcements, Pre-announcement effect, Informed trading, Inventory forecasting

9.

Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News

Journal of Banking and Finance, Forthcoming
Number of pages: 63 Posted: 07 May 2016 Last Revised: 18 Sep 2017
Alexander Kurov and Raluca Stan
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 336 (92,456)
Citation 1

Abstract:

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Monetary policy, Macroeconomic announcements, Financial markets, Intraday data

10.

Relief Rallies after FOMC Announcements as a Resolution of Uncertainty

Journal of Empirical Finance, Forthcoming
Number of pages: 51 Posted: 16 Jul 2016 Last Revised: 22 Sep 2018
Chen Gu, Alexander Kurov and Marketa Wolfe
Shanghai Business School - Research Center of Finance, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 248 (128,004)

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Monetary policy, FOMC meetings, Communication, Stock returns, Uncertainty

11.

Trading Around Macroeconomic Announcements: Are All Traders Created Equal?

Number of pages: 34 Posted: 07 Apr 2005
Grigori Erenburg, Alexander Kurov and Dennis Lasser
University of Western Ontario - King's University College, West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management
Downloads 230 (137,928)

Abstract:

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Macroeconomic announcements, futures, trading, exchange locals

12.

What Determines the Stock Market's Reaction to Monetary Policy Statements?

Number of pages: 43 Posted: 08 Jun 2012
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 206 (153,205)

Abstract:

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Monetary policy, FOMC statements, Stock market, Business cycle

13.

Informational Role of Social Media: Evidence from Twitter Sentiment

Number of pages: 38 Posted: 21 Jul 2018
Chen Gu and Alexander Kurov
Shanghai Business School - Research Center of Finance and West Virginia University - College of Business & Economics
Downloads 201 (156,722)
Citation 1

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Twitter Sentiment, News Sentiment, Social Media, Return Predictability, Analyst Recommendations, Earnings Forecasts, Target Prices

14.

Information and Noise in Financial Markets: Evidence from the E-Mini Index Futures

Number of pages: 37 Posted: 22 Jan 2008 Last Revised: 26 Mar 2008
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 190 (165,104)
Citation 1

Abstract:

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market microstructure, futures markets, price discovery, transitory volatility

15.

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility

Number of pages: 54 Posted: 21 Jul 2016 Last Revised: 02 Jun 2019
Arabinda Basistha, Alexander Kurov and Marketa Wolfe
West Virginia University - College of Business & Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 188 (166,671)
Citation 1

Abstract:

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Volatility forecasting, realized volatility, implied volatility, Internet search activity, Google Trends search volume index, information

16.

Is it Time to Reduce the Minimum Tick Sizes of the E-Mini Futures?

Number of pages: 41 Posted: 03 Jan 2004
Alexander Kurov and Tatyana Zabotina
West Virginia University - College of Business & Economics and University of Illinois at Springfield
Downloads 186 (168,275)
Citation 3

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Tick size, Spreads, Liquidity, Futures, Electronic trading

17.

What Do Chinese Macro Announcements Tell Us About the World Economy?

Journal of International Money and Finance, Forthcoming
Number of pages: 47 Posted: 15 Oct 2013 Last Revised: 17 Jul 2015
Christopher F. Baum, Alexander Kurov and Marketa Wolfe
Boston College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 158 (194,103)
Citation 5

Abstract:

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Macroeconomic news, China, Economic integration, Financial markets, Commodity prices

18.

Monetary Policy and Stock Prices: Does the 'Fed Put' Work When It Is Most Needed?

Journal of Futures Markets, Forthcoming
Number of pages: 37 Posted: 21 Mar 2016
Alexander Kurov and Chen Gu
West Virginia University - College of Business & Economics and Shanghai Business School - Research Center of Finance
Downloads 131 (226,113)

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Monetary policy, Stock returns, Intraday data, Financial crisis

19.

The Impact of Monetary Policy Surprises on Energy Prices

Journal of Futures Markets, Forthcoming
Number of pages: 31 Posted: 24 Jun 2013 Last Revised: 13 Jul 2013
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 104 (267,470)
Citation 4

Abstract:

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monetary policy, energy prices, macroeconomic news

20.

Noisy Inventory Announcements and Energy Prices

Forthcoming, The Journal of Futures Markets
Number of pages: 39 Posted: 07 Jun 2013 Last Revised: 24 Jun 2013
Marketa Wolfe, Alexander Kurov and Oleg Kucher
Skidmore College - Department of Economics, West Virginia University - College of Business & Economics and Frostburg State University - Department of Economics
Downloads 95 (284,089)

Abstract:

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futures markets, energy prices, inventory announcements, event study, measurement error

21.

Trader Survival: Evidence from the Energy Futures Markets

Journal of Futures Markets, 32 (2012), 809-836
Number of pages: 39 Posted: 13 Apr 2011 Last Revised: 04 Nov 2014
Naomi E. Boyd and Alexander Kurov
West Virginia University and West Virginia University - College of Business & Economics
Downloads 93 (288,000)

Abstract:

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Survival, Financial Markets, Market Structure, Futures Markets, Microstructure

22.

When Does the Fed Care About Stock Prices?

Number of pages: 36 Posted: 29 Aug 2018 Last Revised: 26 May 2019
Alexander Kurov, Eric Olson and Gulnara R. Zaynutdinova
West Virginia University - College of Business & Economics, University of Tulsa and West Virginia University, Department of Finance
Downloads 88 (298,170)

Abstract:

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Monetary Policy, Stock Returns, Intraday Data, Futures, Identification, Heteroskedasticity

23.

Estimating Earnings Trend Using Unobserved Components Framework

Economics Letters, Forthcoming
Number of pages: 10 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 68 (346,535)

Abstract:

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Valuation ratios, Unobserved components model

24.

Business Cycle, Storage, and Energy Prices

Review of Financial Economics, Forthcoming
Number of pages: 35 Posted: 10 Aug 2014
Oleg Kucher and Alexander Kurov
Frostburg State University - Department of Economics and West Virginia University - College of Business & Economics
Downloads 45 (420,123)

Abstract:

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Energy Prices, Inventory, Business Cycle

Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets

Financial Review, Vol. 43, No. 1, pp. 107-127, February 2008
Number of pages: 21 Posted: 08 Feb 2008
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 21 (552,517)
Citation 1
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Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets

Financial Review, Vol. 43, No. 1, pp. 107-127, February 2008
Number of pages: 21 Posted: 29 Jan 2008
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 20 (559,197)
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Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets

The Financial Review, Vol. 43, No. 1, February 2008
Posted: 03 Dec 2007
Alexander Kurov
West Virginia University - College of Business & Economics

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feedback trading, investor sentiment, informational efficiency, market microstructure, futures markets

26.

Drift Begone! Release Policies and Preannouncement Informed Trading

Number of pages: 32 Posted: 01 Jan 2020
Alexander Kurov, Alessio Sancetta and Marketa Wolfe
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics and Skidmore College - Department of Economics
Downloads 24 (516,733)

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Macroeconomic news announcements, foreign exchange market, release policies, preannouncement effect, drift, informed trading

27.

Execution Quality in Open Outcry Futures Markets

Journal of Futures Markets, Forthcoming
Posted: 07 Apr 2005
Alexander Kurov
West Virginia University - College of Business & Economics

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Execution quality, Bid-ask spreads, Liquidity, Futures, Order submission strategies