Frog in the Pan: Continuous Information and Momentum

• Main Authors: Gurun, Umit, Da, Zhi, WARACHKA, Mitchell Craig
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Momentum; Information Discreteness; Idiosyncratic Volatility; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2994
• Institution: Singapore Management University

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