Price shocks, news disclosures, and asymmetric drifts

• Main Authors: LU, Hai, WANG, Kevin, WANG, Xiaolu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Price shocks; disclosure; disagreement; drift; stock return; Accounting
• Online Access: https://ink.library.smu.edu.sg/soa_research/1605; https://ink.library.smu.edu.sg/context/soa_research/article/2632/viewcontent/SSRN_id1445095.pdf
• Institution: Singapore Management University

Motivated by investor disagreement and corporate disclosure literatures, we examinehow stock price shocks affect future stock returns. We find that both large short-termprice drops and hikes are followed by negative abnormal returns over the subsequent year,consistent with the conjecture that price sh...