News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media

Thomas Schuster

Finance from University Library of Munich, Germany

Abstract: Numerous empirical studies have demonstrated that asset prices react rapidly, if at all, to news published in the mass media. In many cases, the information has been discounted and prices have already moved upon primary publication through news wires, press releases or firm announcements. Any remaining information is usually quickly priced in after dissemination through the mass media. But not always: Often enough delayed price adjustments, underreactions as well as overreactions, can be observed after particular news reports have been published. This points to inadequacies in the efficient markets hypothesis as well as in Behavioral Finance theories: Delayed reactions appear too often to be explained away as "anomalies" within models of rational pricing. But they appear too eratically to be explained as "normalities" such as in newer models of systematically irrational pricing. In other words: Asset prices frequently do not react to news published in the media. Sometimes they do. The evidence leads to the following conclusion: That markets can be efficient and inefficient at the same time.

JEL-codes: G00 G10 G12 G14 G19 M41 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2003-05-30
New Economics Papers: this item is included in nep-cul
Note: Type of Document - ; prepared on PC; pages: 34
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0305009

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