Information Shocks and Short-Term Market Underreaction
Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one- to three-month...
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| Veröffentlicht in: | Journal of financial economics 2017-04, Vol.124 (1), p.43-64 |
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| container_end_page | 64 |
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| container_title | Journal of financial economics |
| container_volume | 124 |
| creator | Jiang, George J. Zhu, Kevin X. |
| description | Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one- to three-month horizons. The results based on intraday jumps, especially overnight jumps, provide further evidence consistent with underreaction. The underreaction is robust to controlling for other firm characteristics, extends stock return momentum over intermediate to short horizons, and captures market underreaction to information shocks beyond earnings surprises. We further show that limited investor attention contributes to short-term underreaction. |
| doi_str_mv | 10.1016/j.jfineco.2016.06.006 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2017-04, Vol.124 (1), p.43-64 |
| issn | 0304-405X 1879-2774 |
| language | eng |
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| source | Elsevier ScienceDirect Journals Complete - AutoHoldings |
| subjects | Earnings Earnings announcement effect Information shocks Limited investor attention Market strategy Prices Return on equity Short term Short-term underreaction Stock prices Stock return momentum Studies |
| title | Information Shocks and Short-Term Market Underreaction |
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