Frog in the Pan: Continuous Information and Momentum

• المؤلفون الرئيسيون: Da, Zhi, Gurun, G., WARACHKA, Mitchell Craig
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2012
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1792; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2791/viewcontent/WarachkaMFroginthePan.pdf

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...