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Author: George William SCHWERT
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Category :
Languages : en
Pages :
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Author: George William SCHWERT
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Category :
Languages : en
Pages :
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Author: Phillip Cagan
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Category : Corporate profits
Languages : en
Pages : 52
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Author: Eugene F. Fama
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Category :
Languages : en
Pages : 28
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There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an efficient market, i.e., a market that adjusts rapidly to new information. It is important to note, however, that in the empirical work to date the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specific kinds of new information. The prime concern of this paper is to examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split. In doing so we propose a new event study methodology for measuring the effects of actions and events on security prices.
Author: Phillip Cagan
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Category : Corporate profits
Languages : en
Pages : 37
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The effects of inflation adjustments of corporate earnings on market prices were tested by cross section regressions of 485 manufacturing companies for the period 1966-76 and subperiods. The basic data were company reports and stock prices. For the full period, market prices reflected the inventory valuation adjustment and the decline in real value of net financial liabilities fairly completely, but they reflected the adjustment for the understatement of depreciation to only a small extent. The surprisingly low effect of the depreciation adjustment could only be partly attributed to measurement error, but not entirely. The estimated effect of capital gains on stock prices was either in the wrong direction or negligible. The implication of the results is that market investors use a range of adjustments for the effects of inflation which differs from the estimates used in this study, though how and why they differ is not clear. The adjustments were much lower in the later period 1972-76 than in the earlier period 1966-71. This seemed inconsistent with the higher inflation rates in the later period. The explanation for the difference is not clear, but it may reflect the difficulties of judging the size of the adjustments in a period of rapid inflation
Author: James Verlin Davis
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ISBN:
Category : Speculation
Languages : en
Pages : 240
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Author: Ronald Joseph Jordan
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Category : Corporate profits
Languages : en
Pages : 214
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Author: Reena Aggarwal
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Category : Stock exchanges and current events
Languages : en
Pages : 90
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Author: Steven Alan Sharpe
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Category : Inflation (Finance)
Languages : en
Pages : 56
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Author: John E. Ferguson
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Category : Capital assets pricing model
Languages : en
Pages : 354
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Author: Reena Aggarwal
Publisher:
ISBN:
Category : Block trading
Languages : en
Pages : 180
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