Download This PaperPrice Delay Specific to Firm-Specific Information and Anomalies
63 Pages Posted: 8 May 2020 Last revised: 10 Dec 2025
Date Written: July 05, 2023
Abstract
In this paper, I develop a measure that measures the price delay specific to firm-specific information (PD) and examine its relation with 210 anomalies. PD captures the speed at which prices incorporate the left-over firm-specific information not incorporated into prices contemporaneously. In Fama-MacBeth regressions, PD interaction term takes away the statistical significance of consolidated anomalies. PD is high when firm-specific information is difficult to interpret; a firm produces more price-relevant event news; and fundamental uncertainty is high. The results suggest that, on average, market anomalies primarily exist where PD is high.
Keywords: Asset Retruns, Information Delay, Anomalies, Price Efficiency
JEL Classification: G11, G12, G14
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