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Price Shocks, News Disclosures, And Asymmetric Drifts, Hai Lu, Kevin Wang, Xiaolu Wang
Price Shocks, News Disclosures, And Asymmetric Drifts, Hai Lu, Kevin Wang, Xiaolu Wang
Research Collection School Of Accountancy
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 shocks are useful indicators of inter-temporalspikes in investor disagreement and investor opinion converges gradually. The asymmetricdrifts, return continuation for negative price shocks versus return reversal for positive ones,are in sharp contrast to the general findings of symmetric drifts in corporate event studies.Moreover, price shocks associated with public news events are followed by significantlyweaker downward drifts, suggesting that news disclosures …
Governance, Media And The Quality Of Environmental Disclosure, Juergen Seufert
Governance, Media And The Quality Of Environmental Disclosure, Juergen Seufert
Faculty of Business - Papers (Archive)
Article review - Governance, Media and the Quality of Environmental Disclosure K. H. Rupley, D. Brown and R. S. Marshall Journal of Accounting and Public Policy, 2012, 31 (6), pp. 610-640