This paper explores environments in which either the revelation or diffusion of information, or its incorporation into stock prices, is gradual, and develops appropriate estimation techniques. This paper has implications both for event study met hodology and for understanding the process by which stock prices incorporate infornation. Two environments are highlighted.
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Paper provided by Massachusetts Institute of Technology (MIT), Department of Economics in its series Working papers with number
97-13b.
Length: 22 pages Date of creation: 1997 Date of revision: Handle: RePEc:mit:worpap:97-13b
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