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| Author: | Brooks, R.M. Patel, A. Su, T. |
| Title: | How the equity market responds to unanticipated events |
| Journal: | Journal of Business
2003 : JAN, VOL. 76:1, p. 109-133 |
| Index terms: | Expectations Market conditions Market forecasting Stock markets |
| Language: | eng |
| Abstract: | The authors examine the market reaction of prices, volume, spreads, and trading location when firms experience events that are totally unanticipated by the equity market in terms of both timing and content. They find that the response time is longer than previous studies have reported. Selling pressure, wider spreads, and higher volume remain significant for over an hour. |
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