The impact of public information on investors

Journal of Banking and Finance

Volumn 25, Issue 7, 2001, Pages 1339-1366

  Nofsinger, John R ^a  

^a MARQUETTE UNIVERSITY   (United States)

Author keywords

G14; Individual investors; Institutional investors; Macro economic announcements; News releases

Indexed keywords

EID: 0012465198     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00133-3     Document Type: Article

References (38)

1. Abraham A., Ikenberry D.L. The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis. 29(2):1994;263-278.
2. Adams, G., McQueen, G., Wood, R., 1999. The effects of inflation news on high frequency stock returns. Brigham Young University working paper, July.
3. Bernard V.L., Thomas J.K. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics. 13:1990;305-340.
4. Berry T.D., Howe K.M. Public information arrival. Journal of Finance. 49(4):1994;1331-1346.
5. Bessembinder H., Chan K., Seguin P.J. An empirical examination of information, differences of opinion, and trading activity. Journal of Financial Economics. 40:1996;105-134.
6. Chang E.C., Pinegar J.M., Ravichandran R. US day-of-the-week effects and asymmetric responses to macroeconomic news. Journal of Banking and Finance. 22:1998;513-534.
7. Chan L.K.C., Lakonishok J. Institutional trades and intraday stock price behavior. Journal of Financial Economics. 33:1993;173-199.
8. Chopra N., Lakonishok J., Ritter J. Measuring abnormal performance: Do stocks overreact? Journal of Financial Economics. 31:1992;235-268.
9. DeBondt W.F.M., Thaler R.H. Does the stock market overreact? Journal of Finance. 40:1985;793-805.
10. Del Guercio D. The distorting effect of prudent man laws on institutional equity investments. Journal of Financial Economics. 40:1996;31-62.
11. De Long J.B., Shleifer A., Summers L.H., Waldmann R.J. Noise trader risk in financial markets. Journal of Political Economy. 98:1990;703-738.
12. Easley D., O'Hara M. Time and the process of security price adjustment. Journal of Finance. 47(2):1992;577-605.
13. Ederington L.H., Lee J.H. How markets process information: News releases and volatility. Journal of Finance. 48(4):1993;1161-1191.
14. Gosnell T.F., Keown A.J., Pinkerton J.M. The intraday speed of stock price adjustment to major dividend changes: Bid-ask bounce and order flow imbalances. Journal of Banking and Finance. 20(2):1996;247-266.
15. Hirshleifer D., Subrahmanyam A., Titman S. Security analysis and trading patterns when some investors receive information before others. Journal of Finance. 49:1994;1665-1698.
16. Hong H., Lim T., Stein J.C. Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance. 55(1):2000;265-295.
17. Hong H., Stein J.C. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance. 54(6):1999;2143-2184.
18. Kahneman D., Tversky A. Prospect theory: An analysis of decision under risk. Econometrica. 47:1979;263-291.
19. Karpoff J.M. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis. 22(1):1987;109-126.
20. Keim D.B., Madhavan A. Anatomy of the trading process: Empirical evidence on the behavior of institutional traders. Journal of Financial Economics. 37(3):1995;371-398.
21. Kim O., Verrecchia R.E. Market reaction to anticipated announcements. Journal of Financial Economics. 30(2):1991;273-310.
22. Kim O., Verrecchia R.E. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics. 17(1):1994;41-67.
23. Lakonishok J., Shleifer A., Vishny R.W. The impact of institutional trading on stock prices. Journal of Financial Economics. 32:1992;23-43.
24. Lee C.M.C. Earnings news and small traders: An intraday analysis. Journal of Accounting and Economics. 15:1992;265-302.
25. Lo A., MacKinlay C. When are contrarian profits due to stock market overreaction? Review of Financial Studies. 3:1990;175-205.
26. McQueen G., Pinegar M., Thorley S. Delayed reaction to good news and the cross-autocorrelation of portfolio returns. Journal of Finance. 51(3):1996;889-920.
27. McQueen G., Roley V. Stock prices, news, and business conditions. Review of Financial Studies. 6(3):1993;683-707.
28. Mitchell M.L., Mulherin J.H. The impact of public information on the stock market. Journal of Finance. 49(3):1994;923-950.
29. Nofsinger J., Sias R. Herding and feedback trading by institutional and individual investors. Journal of Finance. 54(6):1999;2263-2295.
30. Odean T. Are investors reluctant to realize their loses? Journal of Finance. 53(5):1998;1775-1798.
31. Ritter J., Chopra N. Portfolio rebalancing and the turn of the year effect. Journal of Finance. 44:1989;149-166.
32. Scharfstein D., Stein J. Herd behavior and investment. American Economic Review. 80:1990;465-479.
33. Shefrin H., Statman M. The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance. 40:1985;777-792.
34. Shiller R. Stock prices and social dynamics. Brookings Papers on Economic Activity. 2:1984;457-510.
35. Sias R., Starks L. Institutions and individuals at the turn-of-the-year. Journal of Finance. 52(4):1997;1543-1562.
36. Sias R., Starks L. Return autocorrelation and institutional investors. Journal of Financial Economics. 46(1):1997;103-131.
37. Thompson R.B., Olsen C., Dietrich J.R. Attributes of news about firms: An analysis of firm-specific news reported in the wall street journal index. Journal of Accounting Research. 25(2):1987;245-274.
38. Trueman B. A theory of noise trading in security markets. Journal of Finance. 43:1988;83-95.