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.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics