G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w1296
来源IDWorking Paper 1296
Stock Prices and Economic News
Douglas K. Pearce; V. Vance Roley
发表日期1984-03-01
出版年1984
语种英语
摘要This paper examines the daily response of stock prices to announcements about the money supply, inflation, real economic activity, and the discountrate. Except for the discount rate, survey data on market participants' expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement, the surprise,moves stock prices. The empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices. There is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days. There is also only weak evidence of stock price responses to surprises beyond the announcement day.
主题Macroeconomics
URLhttps://www.nber.org/papers/w1296
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/558524
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GB/T 7714
Douglas K. Pearce,V. Vance Roley. Stock Prices and Economic News. 1984.
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