Bedő, Zsolt and Rappai, Gábor (2006) Is there causal relationship between the value of the news and stock returns? Hungarian Statistical Review, 84 (SN10). pp. 81-99. ISSN 0039-0690
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Abstract
We introduce the application of event study methodology in conjunction with the theory of information entropy. This new mean of time series analysis creates connection between the value of the news announcement and the behaviour of stock prices. As we make distinction between the rates of “surprise” of a particular news announcement the corresponding return behaviour can be assessed more efficiently. We find in our empirical application that the announcements of profitability ratios at different entropy values explain the behaviour of cumulated abnormal returns.
| Item Type: | Article |
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| Subjects: | H Social Sciences / társadalomtudományok > HA Statistics / statisztika |
| Depositing User: | Zsolt Baráth |
| Date Deposited: | 07 Mar 2022 15:20 |
| Last Modified: | 10 Mar 2022 14:44 |
| URI: | http://real.mtak.hu/id/eprint/138611 |
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