The informational content of article publication: the case of twin stocks

Tamir Levy and Joseph Yagil

Applied Financial Economics, 2005, vol. 15, issue 17, 1199-1202

Abstract: This study investigates the mispricing of Royal Dutch and Shell Transport stocks documented in the literature. It is found that the actual market co-movement of the two companies' stocks has gradually become asymptotic to its theoretical counterpart subsequent to the publication of empirical studies that investigated the mispricing phenomenon. These findings imply that market participants incorporate published academic studies into their learning curve. However, it took nine years to rectify the mispricing problem, a fact that seems inconsistent with market efficiency, where information should be reflected immediately in stock prices.

Date: 2005
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DOI: 10.1080/09603100500386875

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