Abstract

http://ssrn.com/abstract=293351
 
 

Citations



 


 



News Events, Information Acquisition, and Serial Correlation


Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area; Centre for International Finance and Regulation (CIFR)

Craig W. Holden


Indiana University - Kelley School of Business - 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


Not Available For Download

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)
Centre for International Finance and Regulation (CIFR) ( email )
Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Craig W. Holden
Indiana University - Kelley School of Business - 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: http://www.kelley.iu.edu/cholden

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