| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12657 |
| DP12657 Paths to Convergence: Stock Price Behavior After Donald Trump's Election | |
| Alexander F. Wagner; Richard Zeckhauser; Alexandre Ziegler | |
| 发表日期 | 2018-01-27 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | How do market prices adjust towards their equilibrium values? Donald Trump’s election, an aggregate surprise that shook up the prices of all stocks, provides an ideal setting to investigate this question. Indeed, the ratio of price spreads among stock returns relative to aggregate market volatility on the first post-election day was one of the greatest seen in this century. Markets assessed the correct direction of relative price moves by individual stocks impressively quickly. The vast majority of stocks moved in the appropriate direction on the first day. However, given the extreme shock, iterations were required to get relative prices to converge to the right levels. To illustrate, return continuation from day 1 to day 2 was extreme by historical standards. Momentum persisted for three days and was followed by a brief reversal before prices settled. Since little new information was released after the election – a fact that we confirm by analyzing both transition team announcements and news flows – these return patterns represented movement toward a new equilibrium, and not a moving equilibrium. Stock return predictability was primarily driven by the part of first-day returns explained by firm characteristics, such as corporate taxes and foreign revenues, not by residual returns. The returns associated with a range of firm characteristics persisted for several days. Our results support prominent theories of slow but predictable diffusion of information into stock prices. |
| 主题 | Financial Economics |
| 关键词 | Stock returns Momentum Reversal Election surprise Market efficiency Predictability Price contribution analysis Corporate taxes Trade policy Event study |
| URL | https://cepr.org/publications/dp12657 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541469 |
| 推荐引用方式 GB/T 7714 | Alexander F. Wagner,Richard Zeckhauser,Alexandre Ziegler. DP12657 Paths to Convergence: Stock Price Behavior After Donald Trump's Election. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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