The Short-Run Dynamics of the Price Adjustment to New Information

Ederington, Louis H.; Lee, Jaeha

doi:10.2307/2331256

Cited by 253 publications

(160 citation statements)

References 14 publications

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“…This is consistent with the findings on stock price reactions to earnings and dividend announcements (Patell and Wolfson (1984)), but it is far slower than adjustments in foreign exchange markets which typically adjust to news announcements within one minute (Ederington and Lee (1995)). The difference may be explained by the different nature of the two markets.…”

Section: Discussionsupporting

confidence: 88%

See 1 more Smart Citation

Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

Tsutsui

Hirayama

2004

SSRN Journal

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Section: Discussionsupporting

confidence: 88%

“…forty seconds according to Ederington and Lee (1995) and Almeida et al (1998). However, equity markets respond more slowly to earnings and dividend announcements, requiring ten to fifteen minutes (Patell and Wolfson (1984)).…”

Section: Introductionmentioning

confidence: 99%

Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

Tsutsui

Hirayama

2004

SSRN Journal

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“…While a few of these more robust studies have examined the information content of macroeconomic news releases (e.g. Ederington and Lee, 1995;Green and Watts, 1996;Fleming andRemolona, 1999 andFifield et al 2002), others have examined the price reactions to the information content of earnings disclosures (e.g. Firth, 1981;Pope andInyangete, 1992 andEl Sharkawy andGarrod, 1996).…”

Section: Brief Review Of Relevant Literaturementioning

confidence: 99%

Stock Price Response to Earnings Announcements: Evidence From the Nigerian Stock Market

Afego

2013

Journal of African Business

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This paper examines the stock market reaction to annual earnings information releases using data on the Nigerian Stock Exchange. Using the event study method, the speed of reaction of the market to annual earnings information releases for a sample of 16 firms listed on the exchange is tested. Significant abnormal price reactions around earnings announcements suggest the earnings announcements contain value-relevant information. We find that the magnitude of the cumulative abnormal returns is dominated by significant reactions 20 days before the earnings release date which suggests that a portion of the market reaction may be due to private acquisition and, possibly, abuse of information by insiders. The persistent downward drift of the cumulative abnormal returns, 20 days after the announcement, is inconsistent with the efficient markets hypothesis, and therefore suggests that the Nigerian stock market does not efficiently adjust to earnings information for the sample firms within the study period.

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“…The markets for foreign exchange and interest rate futures seem to react extremely rapidly to macroeconomic news announcements-within 40 seconds, according to Ederington and Lee (1995) and Almeida et al (1998). However, equity markets respond more slowly to earnings and dividend announcements, requiring ten to 15 minutes (Patell and Wolfson (1984)).…”

Section: Introductionmentioning

confidence: 99%

Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?

et al. 2005

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Fax: Terms of use: Documents in+81-6-6878-2766 e-mail: tsutsui@econ.osaka-u.ac.jp AbstractWe first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the data with special quotes are excluded from the sample. The arbitrage opportunities, however, turn out to be spurious since trading is suspended whenever a special quote is issued.JEL classification number: G14

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The Short-Run Dynamics of the Price Adjustment to New Information

Cited by 253 publications

References 14 publications

Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

Stock Price Response to Earnings Announcements: Evidence From the Nigerian Stock Market

Can We Make Money with Fifth-order Autocorrelation in Japanese Stock Prices?

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