Information Uncertainty And Stock Returns  

Oleh:

Zhang, X. Frank

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 1 (Feb. 2006), page 105-138.
Topik: stock; stock prices; hypothesis testing; studies; short sales; investors; behaviour; regression analysis
Fulltext: p 105.pdf (233.59KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

There is substantial evidence of short - term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross - sectional variations in stock returns. If short - term price continuation is due to investor behavioral biases, we should observe great price drift went there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good new and relatively lower expected returns following bad news. My evidence supports this hypothesis.

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