Stock Price Reaction to News and No-News: Drift and Reversal After Headlines (2002)

by Wesley S. Chan
Venue:MIT SLOAN SCHOOL OF MANAGEMENT, WORKING PAPER
Citations:61 - 0 self

Documents Related by Co-Citation

356 The New Issues Puzzle – Tim, Jay R Ritter - 1995
349 Are investors reluctant to realize their losses – Terrance Odean - 1998
440 Noise trader risk in financial markets – J B De Long, A Shleifer, L H Summers, R J Waldmann - 1990
709 Returns to buying winners and selling losers: Implications for stock market efficiency – Narasimhan Jegadeesh, Sheridan Titman - 1993
2977 Prospect theory: An analysis of decisions under risk – Daniel Kahneman, Amos Tversky - 1979
30 Lydia: A system for large-scale news analysis – L Lloyd, D Kechagias, S Skiena - 2005
25 Movie review mining: a comparison between supervised and unsupervised classification approaches – Pimwadee Chaovalit, Lina Zhou
25 More Than Words: Quantifying Language to Measure Firms ’ Fundamentals – Paul C. Tetlock, Maytal Saar-tsechansky, Sofus Macskassy - 2007
104 What moves stock prices – D Cutler, J Poterba, L Summers - 1989
167 Momentum strategies – Louis K. C. Chan, Narasimhan Jegadeesh, Josef Lakonishok - 1996
875 The cross-section of expected stock returns – E Fama, K French - 1992
105 All That Glitters. The Effect of Attention and News on the Buying – Brad M. Barber, Terrance Odean, Comments Of Jonathan Berk, David Blake, Ken French, Simon Gervais, John Griffin, Andrew Karolyi, Sendhil Mullainathan, Mark Rubinstein, Brett Trueman We Also - 2002
302 On the impossibility of informationally efficient markets – J. Grossman, Joseph E. Stiglitz, J. Grossman, Joseph, E. Stiglitz - 1980
168 Risk, uncertainty, and divergence of opinion – E Miller - 1977
236 Trading is hazardous to your wealth: The common stock investment performance of individual investors – Brad M. Barber, Terrance Odean, Bing Liang, John Nofsinger, Srinivasan Rangan, Mark Rubinstein, René Stulz ~the - 2000
238 Home Bias at Home: Local Equity Preference in Domestic Portfolios – Joshua D. Coval, Tobias J. Moskowitz - 1999
147 Do Demand Curves for Stock Slope Down – A Shleifer - 1986
3 Forecasting gross revenues at the movie box office – A Chen - 2002
14 Predicting movie grosses: Winners and losers, blockbusters and sleepers – J Simonoff, I Sparrow