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The market speed of adjustment to new information
15 references·6 citing·26 second hop
The market speed of adjustment to new information (1979)The market speed of adjustment to new inf…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION (1978)ESTIMATION OF TIME‐VARYING SY…Trading rules, large blocks and the speed of price adjustment (1977)Trading rules, large blocks a…The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings (1977)The Adjustment of Stock Price…Tests for Variance Shift at an Unknown Time Point (1977)Tests for Variance Shift at a…Foundations of Finance. (1977)Foundations of Finance.On the Stable Paretian Behavior of Stock-Market Prices (1974)On the Stable Paretian Behavi…Inference About the Change-Point in a Sequence of Random Variables (1970)Inference About the Change-Po…EFFICIENT 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 Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Market Making and Reversal on the Stock Exchange (1966)Market Making and Reversal on…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESThe valuation effects of corporate social responsibility on mergers and acquisitions: Evidence from U.S. target firms (2020)The valuation effects of corp…The lead-lag relation between the stock and the bond markets (2017)The lead-lag relation between…Revealing climate change opinions through investment behavior: Evidence from Fukushima (2015)Revealing climate change opin…A New Approach in Analyzing the Effect of Deficit Announcements of Interest Rates (1994)A New Approach in Analyzing t…Hedging the Equity Risk of High-Yield Bonds (1991)Hedging the Equity Risk of Hi…The Behavior of Stock Returns: Is it Stationary of Evolutionary? (1984)The Behavior of Stock Returns…Public Regulation of the Securities Markets (1964)The Random Character of Stock Market Prices (1968)On computing mean returns and the small firm premium (1983)Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices (1987)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Estimation of a Change Point in Multiple Regression Models (1997)Dealing with Structural Breaks (2005)Using daily stock returns (1985)Capital markets research in accounting (2001)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Introductory Econometrics for Finance (2008)
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
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1977Foundations of Finance.1,128 cited
  • 1970Inference About the Change-Point in a Sequence of Random Variables831 cited
  • 1966Market Making and Reversal on the Stock Exchange371 cited
  • 1974On the Stable Paretian Behavior of Stock-Market Prices230 cited
  • 1977Trading rules, large blocks and the speed of price adjustment187 cited
  • 1977The Adjustment of Stock Prices to Announcements of Unanticipated Changes in Quarterly Earnings153 cited
  • 1977Tests for Variance Shift at an Unknown Time Point132 cited
  • 1978ESTIMATION OF TIME‐VARYING SYSTEMATIC RISK AND PERFORMANCE FOR MUTUAL FUND PORTFOLIOS: AN APPLICATION OF SWITCHING REGRESSION125 cited

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Cited by

  • 1991Hedging the Equity Risk of High-Yield Bonds50 cited
  • 1994A New Approach in Analyzing the Effect of Deficit Announcements of Interest Rates35 cited
  • 2020The valuation effects of corporate social responsibility on mergers and acquisitions: Evidence from U.S. target firms34 cited
  • 2015Revealing climate change opinions through investment behavior: Evidence from Fukushima32 cited
  • 1984The Behavior of Stock Returns: Is it Stationary of Evolutionary?26 cited
  • 2017The lead-lag relation between the stock and the bond markets25 cited