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
Hauptverfasser:	Jiang, George J., Zhu, Kevin X.
Format:	Artikel
Sprache:	eng
Schlagworte:	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
Online-Zugang:	Volltext
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