Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/76411
Title: Information shocks and short-term market underreaction
Authors: Jiang, GJ
Zhu, KX 
Keywords: Information shocks
Short-term underreaction
Stock return momentum
Earnings announcement effect
Limited investor attention
Issue Date: 2017
Publisher: Elsevier
Source: Journal of financial economics, 2017, v. 124, no. 1, p. 43-64 How to cite?
Journal: Journal of financial economics 
Abstract: Using jumps in stock prices as a proxy for large information shocks, we provide evidence consistent with short-term underreaction in the US equity market. Strategies long (short) stocks with positive (negative) lagged jump returns earn significantly positive returns over the next one-to three-month horizons. The results based on intraday jumps, especially overnight jumps, provide further evidence consistent with underreaction. The underreaction is robust to controlling for other firm characteristics, extends stock return momentum over intermediate to short horizons, and captures market underreaction to information shocks beyond earnings surprises. We further show that limited investor attention contributes to short-term underreaction.
URI: http://hdl.handle.net/10397/76411
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2016.06.006
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