Market Efficiency in Real-Time

@inproceedings{Busse2001MarketEI,
  title={Market Efficiency in Real-Time},
  author={Jeffrey A. Busse and T. Clifton Green},
  year={2001}
}
The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to shed light on the efficient market hypothesis. The segments report analysts' views about individual stocks and are broadcast when the market is open. We find that prices respond to the reports within seconds of the initial mention, with positive reports fully incorporated within one minute. The impact of negative reports is gradual, lasting 15 minutes. We find compelling evidence that viewers trade based on the… CONTINUE READING

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