Gradual Incorporation of Information into Stock Prices: Empirical Strategies

S.F. Ellison and W.S. Mullin

Working papers from Massachusetts Institute of Technology (MIT), Department of Economics

Abstract: This paper explores environments in which either the revelation or diffusion of information, or its incorporation into stock prices, is gradual, and develops appropriate estimation techniques. This paper has implications both for event study met hodology and for understanding the process by which stock prices incorporate infornation. Two environments are highlighted.

Keywords: FINANCIAL MARKET; INFORMATION (search for similar items in EconPapers)
JEL-codes: D82 G10 G14 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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