What types of events provide the strongest evidence that the stock market is affected by company specific news?

Robertson, Calum, Geva, Shlomo and Wolff, Rodney (2006). What types of events provide the strongest evidence that the stock market is affected by company specific news?. In: C. Peter, P. J. Kennedy, J. Li, S. J. Simoff and G. J. Williams, Proceedings of the Fifth Australasian Data Mining Conference (AusDM2006). 5th Australasian Data Mining Conference (AusDM2006), Sydney, Australia, (145-153). 29-30 November 2006.

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Author Robertson, Calum
Geva, Shlomo
Wolff, Rodney
Title of paper What types of events provide the strongest evidence that the stock market is affected by company specific news?
Conference name 5th Australasian Data Mining Conference (AusDM2006)
Conference location Sydney, Australia
Conference dates 29-30 November 2006
Proceedings title Proceedings of the Fifth Australasian Data Mining Conference (AusDM2006)
Publisher CRPIT
Publication Year 2006
Sub-type Fully published paper
Open Access Status File (Publisher version)
Editor C. Peter
P. J. Kennedy
J. Li
S. J. Simoff
G. J. Williams
Start page 145
End page 153
Total pages 9
Language eng
Abstract/Summary The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and interpretations of information. However there is substantial evidence to suggest that the stock market does incorporate new information into prices. Unfortunately little research has focussed on the high frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong evidence to suggest that the markets do incorporate news quickly.
Keyword Stock market
News
Return
Volatility
Market reaction
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Conference Paper
Collection: W.H. Bryan Mining Geology Research Centre
 
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Created: Tue, 17 Jun 2014, 16:07:42 EST by Rodney Wolff on behalf of WH Bryan Mining and Geology Centre