What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and interpretations of information. However there is substantial evidence to suggest that the stock market does incorporate new information into prices. Unfortunately little research has focussed on the high frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong evidence to suggest that the markets do incorporate news quickly.

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Year of publication:	2006
Authors:	Robertson, Calum S. ; Geva, Shlomo ; Wolff, Rodney C.
Other Persons:	Christen, Peter (contributor) ; Kennedy, Paul (contributor) ; Li, Jiuyong (contributor) ; Simoff, Simeon (contributor) ; Williams, Graham (contributor)
Publisher:	Australian Computer Society
Subject:	Econometric and Statistical Methods \| Artificial Intelligence and Image Processing not elsewhere classified \| Stock Market \| News \| Return \| Volatility \| Market Reaction

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Type of publication:	Article
Type of publication (narrower categories):	Congress Report
Notes:	Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C. (2006) What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News? In Christen, Peter, Kennedy, Paul, Li, Jiuyong, Simoff, Simeon, & Williams, Graham (Eds.) 5th Australasian Data Mining Conference, 29th -30th November, 2006, Sydney, Australia.
Source:	BASE

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