The Adjustment of Stock Prices to New Information

Eugene F. Fama; Lawrence Fisher; Michael C. Jensen; Richard Roll

doi:10.2139/ssrn.321524

Keywords

EconomicsStock marketIndependence (probability theory)EconometricsStock priceFinancial economicsStock (firearms)Mandelbrot setEmpirical evidenceSeries (stratigraphy)MathematicsGeographyStatistics

Affiliated Institutions

Related Publications

Filter Rules and Stock-Market Trading

Eugene F. Fama , Marshall E. Blume

IN THE recent literature there has been a considerable interest in the theory of random walks in stock-market prices. The basic hypothesis of the theory is that successive price...

1966 The Journal of Business 841 citations

Permanent and Temporary Components of Stock Prices

Eugene F. Fama , Kenneth R. French

A slowly mean-reverting component of stock prices tends to induce negative autocorrelation in returns. The autocorrelation is weak for the daily and weekly holding periods commo...

1988 Journal of Political Economy 3078 citations

Does the Stock Market Overreact?

Werner F. M. De Bondt , Richard H. Thaler

ABSTRACT Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact” to unexpected and dramatic news events. This study of ma...

1985 The Journal of Finance 7074 citations

Liquidity and the 1987 stock market crash

Yakov Amihud , Haim Mendelson , R.J.K. Wood

T he Crash of October 1987 was a puzzling event puzzling not only for what happened on October 19, but also for what subsequently did not happen. In spite of the magnitude and m...

1990 The Journal of Portfolio Management 168 citations

An ordered probit analysis of transaction stock prices

Jerry A. Hausman , Andrew W. Lo , A. Craig MacKinlay

We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that t...

2003 DSpace@MIT (Massachusetts Institute o... 436 citations

Publication Info

Year: 2003
Type: article
Citations: 3124
Access: Closed

External Links

View on DOI.org

Social Impact

Altmetric

The Adjustment of Stock Prices to New Information

PlumX Metrics

Social media, news, blog, policy document mentions

Citation Metrics

3124

OpenAlex

Cite This

APA Style

                            
                                    Eugene F. Fama, 
                                
                                    Lawrence Fisher, 
                                
                                    Michael C. Jensen
                                
                                et al.
                            
                            (2003). 
                            The Adjustment of Stock Prices to New Information. 
                            SSRN Electronic Journal
                            
                            .
                            https://doi.org/10.2139/ssrn.321524

Identifiers

DOI: 10.2139/ssrn.321524