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Analyse intraquotidienne de l'impact des "news" sur le marché boursier français
Sandrine Lardic,Valérie Mignon +1 more
TLDR
In this article, the impact of public information on the French capital market has been studied and it is shown that earnings announcements, rumors and mergers and acquisitions operations have a great importance on stock prices.Abstract:
The purpose of this paper is to study the impact of public information on the French capital market. Analysis is conducted on intraday data concerning firms which belong both to CAC 40 (important capitalization) and MIDCAC (weak capitalization). Data cover the period January 1995 to December 1999. In order to put forward the impact of public information on stock prices, we apply two non-parametric tests: the threshold test and the run test. Our results show that earnings announcements, rumors and mergers and acquisitions operations have a great importance on stock prices. These various announcements have not been correctly anticipated since they have an important impact on stock prices. These conclusions question the efficient capital French market hypothesis in its semi-strong form. J.E.L. Classification : G14.read more
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Further Evidence on the Impact of Economic News on Interest Rates
Dominique Guegan,Florian Ielpo +1 more
TL;DR: In this article, the shape of the term structure reaction of the US swap rates to announcements using several linear and non-linear time series models was investigated, and it was shown that the existence of some outliers in the one-day changes in interest rates usually leads to a strong underestimation of the reaction of interest rates to macroeconomic news.
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The impact of stock spams on volatility
TL;DR: In this article, the authors studied the impact of stock spams through the analysis of the variations of volatility in the penny stock market and found that the sending of stock spam affected the behavior of investors, thus indicating that spamming activity is a lucrative business.
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Market Effi ciency and Information: A Literature Review
TL;DR: In this article, the authors examined the efficiency market hypothesis through endogenous and exogenous information and showed that the endogenous information is not of quality to question the efficiency, rather than the exogenous one shows significant results.
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Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data
TL;DR: In this article, the authors analyze the persistence effects in the empirical relationship between announcement releases and return volatilities of four major companies of the French stock market using high frequency data over the period 1995-1999.
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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
TL;DR: In this article, the authors analyzed the relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively.
References
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
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An empirical evaluation of accounting income numbers
Ray Ball,Philip Brown +1 more
TL;DR: In this article, it is argued that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility, and the argument stems in part from the patchwork development of account-based theories.
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Efficient Capital Markets: II
TL;DR: A review of the market efficiency literature can be found in this article, where the authors discuss the work that they find most interesting, and offer their views on what we have learned from the research on market efficiency.
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The Adjustment of Stock Prices to New Information
TL;DR: In this paper, the authors examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split and show that the independence of successive price changes is consistent with a market that adjusts rapidly to new information.
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A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati,Paul Pfleiderer +1 more
TL;DR: In this paper, the authors developed a theory that concentrated trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders and provided a partial explanation for some of the recent empitical findings concerning the patterns of volume and price variability in intraday transaction data.