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The intraday speed of adjustment of stock prices to earnings and dividend announcements
9 references·16 citing·36 second hop
The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The intraday speed of adjustment of stock…Misspecification of capital asset pricing (1981)Misspecification of capital a…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS (1978)THE SUPERIORITY OF ANALYST FO…Anomalies in relationships between securities' yields and yield-surrogates (1978)Anomalies in relationships be…Market microstructure (1976)Market microstructureEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Random Character of Stock Market Prices (1968)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Risk management and corporate social responsibility (2020)Risk management and corporate…News Trading and Speed (2015)News Trading and SpeedAn intraday market risk management approach based on textual analysis (2010)An intraday market risk manag…Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆ (2009)Sell on the news: Differences…Breaks and persistency: macroeconomic causes of stock market volatility (2005)Breaks and persistency: macro…Market efficiency in real time (2002)Market efficiency in real timeSecurity Returns and the Value Relevance of Accounting Data (1999)Security Returns and the Valu…Issues in the Use of the Event Study Methodology: A Critical Analysis of Corporate Social Responsibility Studies (1999)Issues in the Use of the Even…Option Trading, Price Discovery, and Earnings News Dissemination* (1997)Option Trading, Price Discove…The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Short-Run Dynamics of the…The earnings-price anomaly (1992)The earnings-price anomalyForecast Accuracy of Individual Analysts in Nine Industries (1990)Forecast Accuracy of Individu…The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements (1989)The Weekend Effect in Informa…Announcement effects of new equity issues and the use of intraday price data (1988)Announcement effects of new e…An empirical analysis of the stock price-volume relationship (1988)An empirical analysis of the …Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets (1986)Earnings Announcements, Stock…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)Market and Industry Factors in Stock Price Behavior (1966)Some New Stock-Market Indexes (1966)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)The Distribution of Exchange Rate Volatility (1999)Evidence on the speed of convergence to market efficiency (2005)Physical approach to complex systems (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The effect of bond rating changes on common stock prices (1986)Financial Markets and the Real Economy (2005)Impacts of positive and negative corporate social responsibility activities on company performance in the hospitality industry (2009)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Rational Expectations and the Theory of Price Movements (1961)Forecasting and Planning: An Evaluation (1981)Earnings forecasting research: its implications for capital markets research (1993)The implied cost of capital: A new approach (2011)Using daily stock returns (1985)Market Watch: Information and Availability Cascades Among the Media and Investors in the U.S. IPO Market (2008)When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions (2010)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1978Anomalies in relationships between securities' yields and yield-surrogates750 cited
  • 1976Market microstructure555 cited
  • 1978THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS485 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited

Cited by

  • 2002Market efficiency in real time342 cited
  • 2009Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆341 cited
  • 2015News Trading and Speed305 cited
  • 1995The Short-Run Dynamics of the Price Adjustment to New Information297 cited
  • 1988Announcement effects of new equity issues and the use of intraday price data289 cited
  • 1989The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

284 cited
  • 1997Option Trading, Price Discovery, and Earnings News Dissemination*245 cited
  • 1990Forecast Accuracy of Individual Analysts in Nine Industries221 cited
  • 1999Security Returns and the Value Relevance of Accounting Data212 cited
  • 1992The earnings-price anomaly209 cited
  • 1999Issues in the Use of the Event Study Methodology: A Critical Analysis of Corporate Social Responsibility Studies201 cited
  • 2020Risk management and corporate social responsibility201 cited
  • 1986Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets197 cited
  • 1988An empirical analysis of the stock price-volume relationship181 cited
  • 2005Breaks and persistency: macroeconomic causes of stock market volatility169 cited
  • 2010An intraday market risk management approach based on textual analysis167 cited