The Adjustment of Stock Prices to New Information

@article{Fama1969TheAO,
  title={The Adjustment of Stock Prices to New Information},
  author={Eugene F. Fama and Lawrence Fisher and Michael C. Jensen and Richard Roll},
  journal={Capital Markets: Market Efficiency eJournal},
  year={1969}
}
There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an efficient market, i.e., a market that adjusts rapidly to new information. It is important to note, however, that in the empirical work to date the usual procedure has been to infer market efficiency from the observed… 
Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries
The speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers. In this article, we provide a simple and uniform
Volatility of stock prices and market efficiency
Recently, historical price series along with the dividend series have been used to severely question the Efficient Markets Hypothesis. The literature suggests that the stock prices vary too much to
Stock Prices and the Publication of Second-Hand Information
Considerable evidence has accumulated over the past 10 years suggesting that the stock market adjusts in an efficient manner to the arrival of new information. Claims by technical analysts that
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
IN AN EFFICIENT market, prices reflect underlying values. This insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by
Estimating the Intensity of News Based on Trade Data
This paper investigates the problem of identifying the strength of the incoming of news in the financial market. With the support of a microstructure model we are able to derive a simple formula
Testing Semi-strong Form Efficiency of Stock Market
The efficient market hypothesis suggests that stock markets are “informationally efficient”. That is, any new information relevant to the market is spontaneously reflected in the stock prices. A
The Speed of Stock Price Adjustment to Market-Wide Information
The speed of stock price adjustment to new information is central to market efficiency, and the price delay measure has emerged as a useful tool. This approach enables earlier studies to identify a
THE SUPPLY OF MONEY AND COMMON STOCK PRICES: FURTHER OBSERVATIONS ON THE ECONOMETRIC EVIDENCE
RECENT, well-publicized attempts to employ econometric methods to isolate the determinants of common stock prices in the United States have aroused considerable interest in the investment community.
An Empirical Investigation of the Adjustment of Stock Prices to New Quarterly Earnings Information
The use of residuals, both mean and mean absolute, was found to be useful in capturing the impact of new quarterly earnings information on share prices. Our results seem to indicate that the market
...
...

References

SHOWING 1-10 OF 21 REFERENCES
THE RANDOM-WALK HYPOTHESIS OF STOCK MARKET BEHAVIOR†
SUMMARY A model of the form xt - xt-1= et where xt is the price of a share at time t and et forms a sequence of independent random variates is postulated as a model of the price determining
The Variation of Certain Speculative Prices
The classic model of the temporal variation of speculative prices (Bachelier 1900) assumes that successive changes of a price Z(t) are independent Gaussian random variables. But, even if Z(t) is
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/
DIVIDEND POLICY, GROWTH, AND THE VALUATION OF SHARES
In the hope that it may help to overcome these obstacles to effective empirical testing, this paper will attempt to fill the existing gap in the theoretical literature on valuation. We shall begin,
A Study of Stock Splits in the Post War Years
THE POSTWAR ECONOMIC PROSPERITY in the United States has been marked by the presence of many general business and security market conditions typical of such a period. One of the more salient
Portfolio Analysis in a Stable Paretian Market
Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the
A Simplified Model for Portfolio Analysis
TLDR
Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.
The Random Character of Stock Market Prices.
This work is known to a generation of financial economists having marked the beginnings of the field known as financial econometrics. This edition sets out to show that the text, first written in
DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES
Distribution of Incomes of Corporations Among Dividens, Retained Earnings, and Taxes Author(s): John Lintner Source: The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the
Portfolio Selection: Efficient Diversification of Investments
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of
...
...