No News Is News: Do Markets Underreact to Nothing?

• 成果类型: Article
• 署名作者: Giglio, Stefano; Shue, Kelly
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu052
• 发表日期: 2014
• 页码: 3389
• 关键词: INVESTOR INATTENTION; limited attention; INFORMATION; MODEL; arbitrage; returns; RISK; disclosure; allocation; prices

摘要

As illustrated in the tale of the dog that did not bark, the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions.