Price shocks, news disclosures, and asymmetric drifts

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...

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Bibliographic Details
Main Authors: LU, Hai, WANG, Kevin, WANG, Xiaolu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
Subjects:
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
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Institution: Singapore Management University
Language: English
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