Price Movement After an Information Event Detected by a New Measure of Private Information Ratio

Keebong Park

Emerging Markets Finance and Trade, 2015, vol. 51, issue S3, 52-65

Abstract: The private information ratio (PIR) is measured by a ratio of abnormal returns of a security, which represents security-j-specific information to the unexpected return of equally weighted Korean Composite Stock Price Index (KOSPI) representing broad stock market information. Price movements after a large price movement are examined in two cases: large security-j-specific information for the top (bottom) 10 percent of the PIR distribution and large market-wide information between 40 and 60 percent of the PIR distribution. Two types of cumulative abnormal returns, $$CA{R_{j,{S_1}}}$$CARj,S1 and $$CR{E_{j,{S_2}}}$$CREj,S2 , are computed to see price movements after event days. More supports for return continuations than for return reversals are found, leading to more support for market efficiency.

Date: 2015
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DOI: 10.1080/1540496X.2015.1039901

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