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No News Is News: Do Markets Underreact to Nothing?

As illustrated in the tale of ?the dog that did not bark,? the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions..Printed Journal

Ketersediaan

Call NumberLocationAvailable
RFS2712PSB lt.dasar - Pascasarjana1
Penerbit Oxford Oxford University Press.,
Edisi -
Subjek Underreaction
limited attention
no news
merger arbitrage
hazard rates
ISBN/ISSN 8939454
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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