Return predictability following different drivers of large price changes

Patel, V; Michayluk, D

Return predictability following different drivers of large price changes

Patel, V

Michayluk, D

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Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2016, 45 pp. 202 - 214
Issue Date:: 2016-05-01

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Field	Value	Language
dc.contributor.author	Patel, V https://orcid.org/0000-0002-1696-3325	en_US
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855	en_US
dc.date.available	2016-03-08	en_US
dc.date.issued	2016-05-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2016, 45 pp. 202 - 214	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/120528
dc.description.abstract	© 2016 Elsevier Inc. This study uniquely examines return predictability following different drivers of large price changes. We use several novel features of the Australian information generation environment to overcome identification issues of large price changes inherent in earlier studies. In contrast to prior results, we find that large price changes are permanent when they are driven by public information consistent with the semi-strong efficient markets hypothesis and also when driven by private information. For large price changes which do not correspond with information, we show that investors could profit from the subsequent over-reaction in returns.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2016.03.004	en_US
dc.subject.classification	Finance	en_US
dc.title	Return predictability following different drivers of large price changes	en_US
dc.type	Journal Article
utslib.citation.volume	45	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	45	en_US

Abstract:

© 2016 Elsevier Inc. This study uniquely examines return predictability following different drivers of large price changes. We use several novel features of the Australian information generation environment to overcome identification issues of large price changes inherent in earlier studies. In contrast to prior results, we find that large price changes are permanent when they are driven by public information consistent with the semi-strong efficient markets hypothesis and also when driven by private information. For large price changes which do not correspond with information, we show that investors could profit from the subsequent over-reaction in returns.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/120528