Abstract

  
 

Citations



 


 



News Events, Information Acquisition, and Serial Correlation


Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area

Craig W. Holden


Indiana University Bloomington - Department of Finance

The Journal of Business, Vol. 75, No. 1, January 2002

Abstract:     
We develop a model that accounts for medium-term continuation (momentum) in asset returns by analyzing information acquisition about news events (such as earnings announcements) in a multiperiod setting. As more and more agents become informed about news events, temporal uncertainty is resolved endogenously through market prices over time, which leads to positive autocorrelations in asset returns. We empirically estimate serial correlations over medium-term horizons for portfolios sorted by firm size and past stock performance and find that calibration of serial correlations in our model spans the range of empirically estimated correlations.

Accepted Paper Series


Date posted: January 19, 2002  

Suggested Citation

Subrahmanyam, Avanidhar and Holden, Craig W., News Events, Information Acquisition, and Serial Correlation. The Journal of Business, Vol. 75, No. 1, January 2002. Available at SSRN: http://ssrn.com/abstract=293351

Contact Information

Avanidhar Subrahmanyam (Contact Author)
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Craig W. Holden
Indiana University Bloomington - Department of Finance ( email )
Kelley School of Business
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3383 (Phone)
812-855-5875 (Fax)
HOME PAGE: www.kelley.iu.edu/cholden
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 685

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo5 in 0.593 seconds