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Information stages in efficient markets

机译:有效市场中的信息阶段

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Market efficiency, in its strong form, asserts that asset prices fully reflect all available information. The classical event study methodology attempts to make explicit this link by assuming rigid and universal pre-event, event, and post-event periods. As an alternative, our framework captures the progressive diffusion of information around events as well as the overlapping impacts of separate events. We also illustrate that our approach captures mean-reversion of expected returns and increased volatility around announcement dates. These features reflect latent regime switches and are associated with semi-strong market efficiency. (C) 2016 Elsevier B.V. All rights reserved.
机译:市场效率以其强大的形式断言资产价格完全反映了所有可用信息。经典事件研究方法试图通过假设严格而普遍的事件前,事件和事件后时期来明确这一联系。作为替代方案,我们的框架捕获事件周围信息的逐步传播以及各个事件的重叠影响。我们还说明了我们的方法捕获了预期收益的均值回归以及在公告日期前后波动性的增加。这些功能反映了潜在的政权转换,并与半强市场效率相关。 (C)2016 Elsevier B.V.保留所有权利。

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