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| Tekijä: | Pritamani, M. Singal, V. |
| Otsikko: | Return predictability following large price changes and information releases |
| Lehti: | Journal of Banking and Finance
2001 : APR, VOL. 25:4, p. 631-656 |
| Asiasana: | PRICES PRICE LEVEL INFORMATION |
| Kieli: | eng |
| Tiivistelmä: | The authors examine return behavior following large price change events. Unconditional post-event abnormal returns are found to be unimportant. As the authors condition on other criteria related to the quality of information like volume and public announcements, the abnormal returns become large. The type of news provides further refinement. If the news relates to earnings or analyst recommendations then the 20-day abnormal returns become much larger ranging from 3% to 4% for positive events and about -2.25% for negative events. Finally, an out-of-sample trading strategy confirms investor under-reaction and generates significant abnormal annualised returns of the order of 12-18%. |
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