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Stock reaction to market-wide information: Working paper series--08-14

Du, Ding and Denning, Karen and Zhao, Xiaobing (2008) Stock reaction to market-wide information: Working paper series--08-14. Working Paper. NAU W.A. Franke College of Business.


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An anomaly within the behavioral literature is that as yet there is no evidence suggesting that stocks mis-react to common information as they do to firm-specific information. We demonstrate the limitations of the previous research and revisit the issue of stock reaction to common information in this manuscript. We find a statistically and economically significant reaction pattern to common information as the behavioral models suggest we should. This finding thus complements the findings of stock mis-reaction to firm-specific information, and should benefit researchers attempting to understand investor behavior. Furthermore, we find that the size factor may not only proxy future economic growth as suggested by Vassalou (2003), but also the delayed reaction to the news related to future economic growth.

Item Type: Monograph (Working Paper)
Publisher’s Statement: Copyright, where appropriate, is held by the author.
ID number or DOI: 08-14
Keywords: Working paper, International Financial Markets, Information and Market Efficiency, Event Studies, Asset Pricing
Subjects: H Social Sciences > HG Finance
NAU Depositing Author Academic Status: Faculty/Staff
Department/Unit: The W.A. Franke College of Business
Date Deposited: 17 Oct 2015 23:15
URI: http://openknowledge.nau.edu/id/eprint/1521

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