What Should We Expect When Testing for Price Response to News in Securities Litigation

@inproceedings{Tabak2016WhatSW,
  title={What Should We Expect When Testing for Price Response to News in Securities Litigation},
  author={David Tabak},
  year={2016}
}
As has been well-documented in the academic literature, a large share of stock-price movements cannot be substantially explained by identifiable news events. The analyses in this paper examine a similar question, considering the fraction of news events that are associated with statistically significant stock-price movements for individual companies when the traditional event-study methodology is employed. The results show that when we examine large companies and events that should be material… CONTINUE READING

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