Gradual Incorporation of Information Into Stock Prices

Gradual Incorporation of Information Into Stock Prices
Author: Sara Fisher Ellison
Publisher:
Total Pages: 24
Release: 1997
Genre: Information theory in economics
ISBN:

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 stock prices incorporate information. Two environments are highlighted. First, information is often not revealed in one announcement but rather through a process of gradual public revelation, which may not be completely observable by a researcher. We examine the effect of the evolution of the Clinton health care reform proposal on pharmaceutical stock prices. We estimate the expected path of market-adjusted pharmaceutical prices over September 1992- October 1993 by isotonic regression, and find that the major portion of the decline in stock prices occurred gradually, and did not correspond to identified news events. Second, the trading process itself may incorporate private information into stock prices gradually. That is an implication of the Kyle (1985) model, in which one or a small number of informed traders use their market power over their private information to maximize profits dynamically. We use the functional form predictions from Kyle in our estimation, and the results from a sample of targets of tender offers are consistent with the model

Gradual Incorporation of Information

Gradual Incorporation of Information
Author: Sara Fisher Ellison
Publisher:
Total Pages: 48
Release: 2000
Genre:
ISBN:

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 observable dates. But for many public policy changes, information is often revealed not in one announcement but rather through a process of gradual public revelation, which may not be completely observable by a researcher. We examine the effect of the evolution of the Clinton healthcare reform proposal on pharmaceutical stock prices. Applying a new technique, isotonic regression, over January 1992 to October 1993, we find that the major portion of the decline in stock prices occurred gradually, and did not correspond to identified news events. Strikingly, 85% of the total effect of the healthcare reform on stock prices was incorporated by February, 1993, nearly seven months before the Clinton plan was formally unveiled to Congress. Keywords: Pharmaceutical industry; isotonic regression; stock market information.

Gradual Incorporation of Information

Gradual Incorporation of Information
Author: Sara Fisher Ellison
Publisher:
Total Pages: 0
Release: 2003
Genre:
ISBN:

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 observable dates. But for many public policy changes, information is often revealed not in one announcement but rather through a process of gradual public revelation, which may not be completely observable by a researcher. We examine the effect of the evolution of the Clinton healthcare reform proposal on pharmaceutical stock prices. Applying a new technique, isotonic regression, over January 1992 to October 1993, we find that the major portion of the decline in stock prices occurred gradually, and did not correspond to identified news events. Strikingly, 85% of the total effect of the healthcare reform on stock prices was incorporated by February, 1993, nearly seven months before the Clinton plan was formally unveiled to Congress.

The Incorporation of Information Into Share Prices

The Incorporation of Information Into Share Prices
Author: Martin Rossner
Publisher:
Total Pages:
Release: 2005
Genre:
ISBN:

My thesis consists of both a theoretical and an empirical part. In the theoretical part I describe how traditional finance, behavioral finance and market microstructure approach the formation of share prices, I analyze what follows for the incorporation of information and I introduce specific models. In the empirical part I adapt the model of Kyle (1985) and specify an epidemic model to develop trading strategies and I test these trading strategies in a sample of stock prices before earnings announcements. In addition I estimate the models in their conventional form in the same sample. The results suggest the following: First one can obtain excess returns using the trading strategies, second the predictive power of the models is higher for smaller stocks and third the gradual incorporation of information is stronger for larger stocks.

Experiences and Challenges in the Development of the Chinese Capital Market

Experiences and Challenges in the Development of the Chinese Capital Market
Author: Douglas Cumming
Publisher: Springer
Total Pages: 217
Release: 2015-07-28
Genre: Business & Economics
ISBN: 1137454636

The focus of the global economy has increasingly shifted toward China and emerging countries. However, despite their high growth prospects, emerging economies often lack the sound capital market and corporate governance systems necessary to promote the efficient allocation of financial resources to maintain the confidence of capital providers. As China becomes more prominent economically, the development of its capital market becomes an increasingly important issue. This book presents some of the latest academic research on China's capital markets, demonstrating some of the major issues currently being faced. Preeminent researchers in the field examine key topics such as the performance of commercial banks, dividends and ownership, financial constraints and firm performance, the role of political networks, stock price decomposition, stock return predictability, and the role of media coverage. In this book, the authors use the country's institutional background to offer useful insight into policy implications for the development of China as well as other emerging economies.

Proceedings of the 2011 International Conference on Informatics, Cybernetics, and Computer Engineering (ICCE2011) November 19-20, 2011, Melbourne, Australia

Proceedings of the 2011 International Conference on Informatics, Cybernetics, and Computer Engineering (ICCE2011) November 19-20, 2011, Melbourne, Australia
Author: Liangzhong Jiang
Publisher: Springer Science & Business Media
Total Pages: 821
Release: 2011-11-24
Genre: Technology & Engineering
ISBN: 3642251943

The volume includes a set of selected papers extended and revised from the International Conference on Informatics, Cybernetics, and Computer Engineering. A computer network, often simply referred to as a network, is a collection of computers and devices interconnected by communications channels that facilitate communications and allows sharing of resources and information among interconnected devices. Put more simply, a computer network is a collection of two or more computers linked together for the purposes of sharing information, resources, among other things. Computer networking or Data Communications (Datacom) is the engineering discipline concerned with computer networks. Computer networking is sometimes considered a sub-discipline of electrical engineering, telecommunications, computer science, information technology and/or computer engineering since it relies heavily upon the theoretical and practical application of these scientific and engineering disciplines. Networks may be classified according to a wide variety of characteristics such as medium used to transport the data, communications protocol used, scale, topology, organizational scope, etc. Electronics engineering, also referred to as electronic engineering, is an engineering discipline where non-linear and active electrical components such as electron tubes, and semiconductor devices, especially transistors, diodes and integrated circuits, are utilized to design electronic circuits, devices and systems, typically also including passive electrical components and based on printed circuit boards. The term denotes a broad engineering field that covers important subfields such as analog electronics, digital electronics, consumer electronics, embedded systems and power electronics. Electronics engineering deals with implementation of applications, principles and algorithms developed within many related fields, for example solid-state physics, radio engineering, telecommunications, control systems, signal processing, systems engineering, computer engineering, instrumentation engineering, electric power control, robotics, and many others. ICCE 2011 Volume 3 is to provide a forum for researchers, educators, engineers, and government officials involved in the general areas of Computer Engineering and Electronic Engineering to disseminate their latest research results and exchange views on the future research directions of these fields. 99 high-quality papers are included in the volume. Each paper has been peer-reviewed by at least 2 program committee members and selected by the volume editor. Special thanks to editors, staff of association and every participants of the conference. It’s you make the conference a success. We look forward to meeting you next year.

Knowledge Accumulation and Industry Evolution

Knowledge Accumulation and Industry Evolution
Author: Mariana Mazzucato
Publisher: Cambridge University Press
Total Pages: 426
Release: 2006-03-09
Genre: Business & Economics
ISBN: 1139450905

Written by internationally acclaimed experts in the economics of innovation, this volume examines how the biotechnology and pharmaceutical sector is affected by the dynamics of innovation, institutions, and public policy. It contributes both theoretically and empirically to the increasingly influential Schumpetarian framework in industrial economics, which places innovation at the centre of the analysis of competition. Both quantitative and qualitative studies are included, and this varied perspective adds to the richness of the volume's insights. The contributors explore different ideas regarding the historical evolution of technology in the sector, and how firms and industry structure have co-evolved with innovation dynamics. Important policy questions are considered regarding the future of innovation in this sector and its impact on the economy.

Equity Markets in Action

Equity Markets in Action
Author: Robert A. Schwartz
Publisher: John Wiley & Sons
Total Pages: 482
Release: 2004-10-06
Genre: Business & Economics
ISBN: 0471689882

An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.

Personal Finance and Investments

Personal Finance and Investments
Author: Keith Redhead
Publisher: Routledge
Total Pages: 1294
Release: 2008-09-15
Genre: Business & Economics
ISBN: 113408837X

In this book, the author draws from finance, psychology, economics, and other disciplines in business and the social sciences, recognising that personal finance and investments are subjects of study in their own right rather than merely branches of another discipline. Considerable attention is given to topics which are either ignored or given very little attention in other texts. These include: the psychology of investment decision-making stock market bubbles and crashes property investment the use of derivatives in investment management regulation of investments business. More traditional subject areas are also thoroughly covered, including: investment analysis portfolio management capital market theory market efficiency international investing bond markets institutional investments option pricing macroeconomics the interpretation of company accounts. Packed with over one hundred exercises, examples and exhibits and a helpful glossary of key terms, this book helps readers grasp the relevant principles of money management. It avoids non-essential mathematics and provides a novel new approach to the study of personal finance and investments. This book will be essential for students and researchers engaged with personal finance, investments, behavioural finance, financial derivatives and financial economics. This book also comes with a supporting website that includes two updated chapters, a new article featuring a behavioural model of the dot com, further exercises, a full glossary and a regularly updated blog from the author.