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Information Effects and Stock Market Response to Signs of Firm Deterioration
16 references·16 citing·27 second hopsampled
Information Effects and Stock Market Response to Signs of Firm Deterioration (1981)Information Effects and Stock Market Resp…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Capital Markets: Theory and Evidence (2003)Capital Markets: Theory and E…The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model (1979)The Sensitivity of the Effici…Price performance of common stock new issues (1975)Price performance of common s…BETAS AND THEIR REGRESSION TENDENCIES (1975)BETAS AND THEIR REGRESSION TE…Special Information and Insider Trading (1974)Special Information and Insid…Risk and return: The case of merging firms (1974)Risk and return: The case of …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Predicting Railroad Bankruptcies in America (1973)Predicting Railroad Bankruptc…A Discriminant Analysis of Predictors of Business Failure (1972)A Discriminant Analysis of Pr…ON THE ASSESSMENT OF RISK (1971)ON THE ASSESSMENT OF RISKCorporate bankruptcy in America (1971)Corporate bankruptcy in Ameri…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Financial Ratios As Predictors of Failure (1966)Financial Ratios As Predictor…A sustainable solution for lean barriers through a fuzzy DEMATEL methodology with a case study from the Indian manufacturing industry (2023)A sustainable solution for le…Financial Distress and Stock Market Failures: Lessons from Indian Realty Sector (2018)Financial Distress and Stock …ANNs-Based Early Warning System for Indonesian Islamic Banks (2018)ANNs-Based Early Warning Syst…Predicting systematic risk: Implications from growth options (2010)Predicting systematic risk: I…Strategic auditor switch and financial distress prediction–empirical findings from the TSE-listed firms (2008)Strategic auditor switch and …An empirical analysis of financially distressed Australian companies: the application of survival analysis (2008)An empirical analysis of fina…Market behaviour around bankruptcy announcements: evidence from the Australian Stock Exchange (2007)Market behaviour around bankr…Firms in Financial Distress, a Survival Model Analysis (2007)Firms in Financial Distress, …Typology Analysis of Performance Models of Small and Medium-Size Enterprises (SMEs) (2004)Typology Analysis of Performa…La prévision de la faillite fondée sur l’analyse financière de l’entreprise : un état des lieux (2004)La prévision de la faillite f…Insider trading behavior prior to Chapter 11 bankruptcy announcements (2001)Insider trading behavior prio…Issues in assessing MDA models of corporate failure: A research note (1992)Issues in assessing MDA model…Changes in the probability of bankruptcy and equity value (1989)Changes in the probability of…The information value of failure predictions in credit assessment (1988)The information value of fail…The Association Between Probabilities of Bankruptcy and Market Responses—A Test of Market Anticipation (1988)The Association Between Proba…The Information Value of Mda Based Financial Indicators (1987)The Information Value of Mda …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring security price performance (1980)Strategic Factor Markets: Expectations, Luck, and Business Strategy (1986)The Pricing of Options and Corporate Liabilities (1973)The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Efficient Capital Markets: II (1991)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Are Insider Trades Informative? (2001)The robust beauty of improper linear models in decision making. (1979)A neural network model for bankruptcy prediction (1990)Credit rating analysis with support vector machines and neural networks: a market comparative study (2003)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)In Search of Distress Risk (2008)Using daily stock returns (1985)Capital markets research in accounting (2001)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1966Financial Ratios As Predictors of Failure4,753 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1975Price performance of common stock new issues1,341 cited
  • 1974Special Information and Insider Trading1,236 cited
  • 1972A Discriminant Analysis of Predictors of Business Failure1,168 cited
  • 1974Risk and return: The case of merging firms869 cited
  • 1971ON THE ASSESSMENT OF RISK721 cited
  • 1975BETAS AND THEIR REGRESSION TENDENCIES548 cited
  • 2003Capital Markets: Theory and Evidence275 cited
  • 1971Corporate bankruptcy in America166 cited
  • 1973Predicting Railroad Bankruptcies in America162 cited
  • 1979The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model

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Cited by

  • 1992Issues in assessing MDA models of corporate failure: A research note59 cited
  • 1989Changes in the probability of bankruptcy and equity value58 cited
  • 2004Typology Analysis of Performance Models of Small and Medium-Size Enterprises (SMEs)50 cited
  • 2007Market behaviour around bankruptcy announcements: evidence from the Australian Stock Exchange39 cited
  • 1988The Association Between Probabilities of Bankruptcy and Market Responses—A Test of Market Anticipation30 cited
  • 2008Strategic auditor switch and financial distress prediction–empirical findings from the TSE-listed firms28 cited
  • 1987The Information Value of Mda Based Financial Indicators28 cited
  • 2018Financial Distress and Stock Market Failures: Lessons from Indian Realty Sector27 cited
  • 2010Predicting systematic risk: Implications from growth options26 cited
  • 2004La prévision de la faillite fondée sur l’analyse financière de l’entreprise : un état des lieux24 cited
  • 1988The information value of failure predictions in credit assessment24 cited
  • 2001Insider trading behavior prior to Chapter 11 bankruptcy announcements23 cited
  • 2008An empirical analysis of financially distressed Australian companies: the application of survival analysis22 cited
  • 2007Firms in Financial Distress, a Survival Model Analysis22 cited
  • 2018ANNs-Based Early Warning System for Indonesian Islamic Banks21 cited
  • 2023A sustainable solution for lean barriers through a fuzzy DEMATEL methodology with a case study from the Indian manufacturing industry19 cited