The relationship between securities' abnormal price movements and Wall Street Journal news

Dan Palmon, Meir I. Schneller

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

This study investigates the nature of the news which appear in the Wall Street Journal in the periods surrounding abnormal price movements of securities. A news classification system is developed. This system classified the news for a sample of firms whose stock underwent abnormal price changes. Our findings are inconsistent with the efficient market hypothesis. The nature of the news regarding the average firm precedes the abnormal price changes.

Original languageEnglish (US)
Pages (from-to)235-247
Number of pages13
JournalJournal of Banking and Finance
Volume4
Issue number3
DOIs
StatePublished - 1980
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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