An Empirical Study of the Stock Price Response to News

• Main Authors: LIN,KUO HSING, 林國興
• Other Authors: LAI,JING YI
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/98540538778299987381

碩士 === 南華大學 === 經濟學研究所 === 90 === ABSTRACT This study investigates two hypotheses : the stock market investors in Taiwan overreact to information disclosed by economic business reports and the underlying information has contents. Abnormal stock returns of individual firm are calculated from a market model, based on which the statistical references are constructed through average abnormal returns (AR) and cumulative AR (CAR) to test the two hypotheses. It is concluded that the stock market investors overreact to overall information disclosed by economic business reports and the underlying information has contents. When the reports are divided into positive and negative information, the empirical results show that the stock market investors do not overreact to positive, nor negative, information, while positive information has contents but negative information does not. Mixed results are also found for the varying information in five categories of industry.