We revisit the stock market anomaly documented by Thomas and Zhang (2008) and show that the apparent mispricing of information transfers has decayed over time, as the US markets experienced rapid improvements in the efficiency of the underlying price formation processes. Utilizing recent...

Motivated by recent studies that demonstrate the superiority of the Global Industry Classification System (GICS) relative to the Standard Industry Classification (SIC) system in capital market research, we revisit the stock market anomaly documented by Thomas and Zhang (TZ) ("Overreaction to...

Purpose – Motivated by recent studies that demonstrate the superiority of the Global Industry Classification System (GICS) relative to the Standard Industry Classification (SIC) system in capital market research, the authors revisit the stock market anomaly documented by Thomas and Zhang (TZ)...