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 methodology and for understanding the process by which...

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 methodology and for understanding the process by which...

Information moves stock prices. A vast literature has arisen to exploit and explain that fact. Applied researchers in a variety of fields have used stock market reactions to assess public policy changes. Most of that research has assumed that the information is released on a small set of...