How the Equity Market Responds to Unanticipated Events *

@inproceedings{Brooks2003HowTE,
  title={How the Equity Market Responds to Unanticipated Events *},
  author={Raymond M. Brooks and Ajay Patel},
  year={2003}
}
One of the major premises of efficient market theory is that the market quickly impounds any publicly available information, including macroeconomic information, that might be used to predict stock prices. It is only new—and especially new and unpredictable—information that moves prices, and yet many studies examine only announcements that have a predictable component. Researchers typically select a proxy for the anticipated portion of the news announcement and then test the market’s reaction… CONTINUE READING