Stock price reaction to public and private information

• 成果类型: Article
• 署名作者: Vega, Clara
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.07.011
• 发表日期: 2006
• 页码: 103-133
• 关键词: Learning; earnings announcements; Market microstructure; high-frequency data; private information; public information and media coverage

摘要

I use Easley and O'Hara's [1992, Journal of Finance 47, 577-604] private information-based trading variable, PIN, together with a comprehensive public news database to empirically measure the effect of private and public information on the post-announcement drift. I show that stocks associated with high PIN, consensus public news surprises, and low media coverage experience low or insignificant drift. Thus not all information acquisition variables have the same effect on the market's efficiency. Whether information is public or private is irrelevant; what matters is whether information is associated with the arrival rate of informed or uninformed traders. (c) 2006 Elsevier B.V. All rights reserved.