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Gradual Incorporation of Information into Stock Prices: Empirical Strategies

Author

Listed:
  • Ellison, S.F.
  • Mullin, W.S.

Abstract

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.

Suggested Citation

  • Ellison, S.F. & Mullin, W.S., 1997. "Gradual Incorporation of Information into Stock Prices: Empirical Strategies," Working papers 97-13b, Massachusetts Institute of Technology (MIT), Department of Economics.
    • Handle: RePEc:mit:worpap:97-13b
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    Keywords

    FINANCIAL MARKET ; INFORMATION;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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