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| Tekijä: | Falk, H. Levy, H. |
| Otsikko: | Market reaction to quarterly earnings announcements: a stochastic dominance based test of market efficiency. |
| Lehti: | Management Science
1989 : APR, VOL. 35:4, p. 425-446 |
| Asiasana: | EARNINGS STOCK MARKETS CAPITAL ASSETS |
| Kieli: | eng |
| Tiivistelmä: | The use of the capital asset pricing in empirical research is subject to some criticism. In light of this criticism the stochastic dominance criteria are offered as an alternative research method for the examination of market efficiency. The underlying assumptions of the two frameworks are discussed and the stochastic dominance technique is demonstrated via the examination of market reaction to quarterly earnings announcements. Analysis suggests that the market was efficient during the entire period examined. |
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