6533b7d4fe1ef96bd126298c

RESEARCH PRODUCT

The Speed of Incorporating Information into Prices

Camelia OpreanCristina Tanasescu

subject

Public informationFinancial economicsGeneral EngineeringEvent studyEnergy Engineering and Power TechnologyShare priceinformationStock exchangeInterimPrice changeabnormal returnsEconomicsevent studyStock (geology)

description

Abstract To determine the speed of adjusting asset prices to the latest market information, investors usually resort to semi-strong form efficiency tests. Semi-strong form efficiency is based on the assumption that stock prices adjust rapidly as a result of new public information. The objective of the event study conducted in this paper was to examine whether new information is incorporated into the share price in a single price change after its public distribution. We analyzed the price behaviour of companies listed under Category I of the Bucharest Stock Exchange around events such interim result announcements between June and November 2012.

https://doi.org/10.1016/s2212-5671(13)00188-3