Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns

Pablo Marshall and Eduardo Walker ()

Journal of Applied Economics, 2002, vol. 5, issue 2, 273-292

Abstract: This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991–1998 period, results show that larger company stock prices—as measured by market capitalization—react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does.

Date: 2002
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Journal Article: Asymmetric Reaction to Information and Serial Dependence of Short-run Returns (2002)
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DOI: 10.1080/15140326.2002.12040580

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