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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

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Author Info

  • Rodney C Wolff
  • C.S. Robertson
  • S. Geva

    (School of Economics and Finance, Queensland University of Technology)

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    Abstract

    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.

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    File URL: http://eprints.qut.edu.au/5889/
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    Bibliographic Info

    Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 208b.

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    Date of creation: 15 Jun 2006
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    Handle: RePEc:qut:dpaper:208b

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    Web page: http://www.bus.qut.edu.au/faculty/economics/
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    Related research

    Keywords: Stock Market; News; Return; Volatility; Market Reaction;

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