Asymmetric Reaction to Information and Serial Dependence of Short-run Returns

This paper studies the daily stock price reaction to new information of portfolios grouped by size quintiles. To that end, cross-correlations, autocorrelations and Dimson beta regressions are analyzed. Based on a sample of shares traded in the Santiago de Chile Stock Exchange for the 1991-1998 period, results show that larger company stock prices –as measured by market capitalization– react to both good and bad news sooner than the smaller ones do. Thus a crossed effect appears, although not as a cascade: only the prices of large firms react earlier than the rest. These effects do not seem to be caused by non-trading. There also are significant asymmetric lagged and cross-effects. Good news has a more pronounced lagged effect than bad news does.

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Publication Type:
Journal Article
DOI and Other Identifiers:
Print ISSN 1514-0326 (Other)
Online ISSN 1667-6726 (Other)
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Published in:
Journal of Applied Economics, 05, 2
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JEL Codes:
G12; G15

 Record created 2017-04-01, last modified 2019-08-26

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