| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6218 |
| 来源ID | Working Paper 6218 |
| Gradual Incorporation of Information into Stock Prices: Empirical Strategies | |
| Sara Fisher Ellison; Wallace P. Mullin | |
| 发表日期 | 1997-10-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper explores environments in which either the revelation or diffusion of information, or its incorporation into stock prices, is gradual, and develops appropriate estimation techniques. This paper has implications both for event study methodology and for understanding the process by which stock prices incorporate information. Two environments are highlighted. First, information is often not revealed in one announcement but rather through a process of gradual public revelation, which may not be completely observable by a researcher. We examine the effect of the evolution of the Clinton health care reform proposal on pharmaceutical stock prices. We estimate the expected path of market-adjusted pharmaceutical prices over September 1992- October 1993 by isotonic regression, and find that the major portion of the decline in stock prices occurred gradually, and did not correspond to identified news events. Second, the trading process itself may incorporate private information into stock prices gradually. That is an implication of the Kyle (1985) model, in which one or a small number of informed traders use their market power over their private information to maximize profits dynamically. We use the functional form predictions from Kyle in our estimation, and the results from a sample of targets of tender offers are consistent with the model. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w6218 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563729 |
| 推荐引用方式 GB/T 7714 | Sara Fisher Ellison,Wallace P. Mullin. Gradual Incorporation of Information into Stock Prices: Empirical Strategies. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6218.pdf（1823KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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