Frog in the Pan: Continuous Information and Momentum

• Main Authors: Da, Zhi, Gurun, G., WARACHKA, Mitchell Craig
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1792; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2791/viewcontent/WarachkaMFroginthePan.pdf
• Institution: Singapore Management University

We develop and test a frog-in-the-pan hypothesis that predicts investors are less attentive to information arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large amounts at discrete timepoints. Intuitively, we hypothesize that a...