Information Effects and Stock Market Response to Signs of Firm Deterioration

Edward Altman and Menachem Brenner

Journal of Financial and Quantitative Analysis, 1981, vol. 16, issue 1, 35-51

Abstract: A recent issue of the Journal of Financial Economics (June/September 1978) is devoted to reporting anomalous evidence regarding market efficiency. This study may qualify under the same heading. Here we examine the market response to information about firms whose future is assessed as being extremely problematic.

Date: 1981
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