Gradual Incorporation of Information into Stock Prices: Empirical Strategies.
This paper explores environments in which either the revelation or diffusion of information, or its incorporation into stock prices, is gradual, and develops appropriate estimation techniques. This paper has implications both for event study met hodology and for understanding the process by which stock prices incorporate infornation. Two environments are highlighted.
Year of publication: |
1997
|
---|---|
Authors: | Ellison, S.F. ; Mullin, W.S. |
Institutions: | Economics Department, Massachusetts Institute of Technology (MIT) |
Subject: | FINANCIAL MARKET | INFORMATION |
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