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The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market
10 references·1 citing·45 second hop
The stock market rumours and stock prices: a test of price pressure and size effect in an emerging market (2002)The stock market rumours and stock prices…Stock Price Reactions to Securities Recommended in Business Week's “Inside Wall Street” (1995)Stock Price Reactions to Secu…The "Dartboard" Column: Second-Hand Information and Price Pressure (1993)The "Dartboard" Column: Secon…Stock Prices and the Dissemination of Analysts' Recommendation (1991)Stock Prices and the Dissemin…Stock Price Reactions to The Wall Street Journal's Securities Recommendations (1990)Stock Price Reactions to The …Event study methodologies and the size effect (1986)Event study methodologies and…Using daily stock returns (1985)Using daily stock returnsThe effect of value line investment survey rank changes on common stock prices (1985)The effect of value line inve…Stock Prices and the Publication of Second-Hand Information (1978)Stock Prices and the Publicat…Brokerage House Investment Advice (1973)Brokerage House Investment Ad…How Good is Institutional Brokerage Research? (1972)How Good is Institutional Bro…Effect of social media rumors on stock market volatility: A case of data mining in China (2022)Effect of social media rumors…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)A brief history of market efficiency (1998)Murphy's Law and Market Anomalies (1999)Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012)Estimating betas from nonsynchronous data (1977)Measuring security price performance (1980)Optimism Biases among Brokerage and Non-Brokerage Firms' Equity Recommendations: Agency Costs in the Investment Industry (1998)Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters (1999)From hybrids to hierarchies: shareholder wealth effects of joint venture partner buyouts (2000)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Impact of Publication of Analysts' Recommendations on Returns and Trading Volume (1994)The effects of stock market rumors on stock prices: evidence from an emerging market (2001)Event Study and Principal Component Analysis Based on Sentiment Analysis – A Combined Methodology to Study the Stock Market with an Empirical Study (2020)The Information Content of Annual Earnings Announcements (1968)The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Prices to New Information (2003)Morningstar ratings and future performance (2006)Google attention and target price run ups (2012)The Behavior of Stock-Market Prices (1965)An Empirical Evaluation of Accounting Income Numbers (1968)The value line enigma (1965–1978) (1982)The variation of certain speculative prices (1997)Customer Satisfaction, Analyst Stock Recommendations, and Firm Value (2010)Stock Returns after Major Price Shocks: The Impact of Information (2011)Risk measurement when shares are subject to infrequent trading (1979)Do Demand Curves for Stocks Slope Down? (1986)Equity issues and offering dilution (1986)Can Investors Profit from the Prophets? Consensus Analyst Recommendations and Stock Returns (1998)When Security Analysts Talk, Who Listens? (2007)Market Madness? The Case of Mad Money (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Market reaction to Business Week ‘Inside Wall Street’ column: A self-fulfilling prophecy (1996)Are crowds on the internet wiser than experts? The case of a stock prediction community (2014)Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List (1995)Information Content of Equity Analyst Reports (2002)The value of stock analysts' recommendations: Evidence from emerging markets (2008)The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment (2003)Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets (2011)
this work references cited by second hop

References

  • 1985Using daily stock returns6,497 cited
  • 1986Event study methodologies and the size effect293 cited
  • 1993The "Dartboard" Column: Second-Hand Information and Price Pressure289 cited
  • 1978Stock Prices and the Publication of Second-Hand Information279 cited
  • 1990Stock Price Reactions to The Wall Street Journal's Securities Recommendations182 cited
  • 1991Stock Prices and the Dissemination of Analysts' Recommendation160 cited
  • 1985The effect of value line investment survey rank changes on common stock prices139 cited
  • 1972How Good is Institutional Brokerage Research?79 cited
  • 1995Stock Price Reactions to Securities Recommended in Business Week's “Inside Wall Street”54 cited
  • 1973Brokerage House Investment Advice49 cited

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  • 2022Effect of social media rumors on stock market volatility: A case of data mining in China25 cited

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