Author: Eugene F. Fama
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
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.
The Adjustment of Stock Prices to New Information
Author: Eugene F. Fama
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
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.
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Book Description
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.
The Adjustment of Stock Prices to New Information
Author: James Verlin Davis
Publisher:
ISBN:
Category : Speculation
Languages : en
Pages : 240
Book Description
Publisher:
ISBN:
Category : Speculation
Languages : en
Pages : 240
Book Description
An Empirical Investigation of the Adjustment of Stock Prices to New Quarterly Earnings Information
Author: Ronald Joseph Jordan
Publisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 214
Book Description
Publisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 214
Book Description
The Speed of Adjustment of Stock Prices to New Information
Author: Reena Aggarwal
Publisher:
ISBN:
Category : Stock exchanges and current events
Languages : en
Pages : 90
Book Description
Publisher:
ISBN:
Category : Stock exchanges and current events
Languages : en
Pages : 90
Book Description
The Adjustment of Stock Prices to New Earnings Information
Author: Lars-Erik ForsgÄrdh
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
The Speed of Adjustment of Stock Prices to New Information
Author: Reena Aggarwal
Publisher:
ISBN:
Category : Block trading
Languages : en
Pages : 180
Book Description
Publisher:
ISBN:
Category : Block trading
Languages : en
Pages : 180
Book Description
The Adjustment of Stock Prices to New Information
Author: Stewart Leon Brown
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 216
Book Description
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 216
Book Description
THE ADJUSTMENT OF STOCK PRICES TO INFORMATION ABOUT INFLATION
Author: George William SCHWERT
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Adjustment of Stock Prices to New Information on the Taiwan Stock Exchange
Author: Jung Ling Chang
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 88
Book Description
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 88
Book Description
The Adjustment of Stock Prices to Bond Rating Changes
Author: George E. Pinches
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 16
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 16
Book Description