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dc.contributor.authorDong, Mengming Michael
dc.date.accessioned 2018-02-20T16:32:34Z
dc.date.available 2018-02-20T16:32:34Z
dc.date.issued 2018
dc.identifier.citation Dong, Mengming Michael. "Does Public News Alleviate The Market’s Underreaction to Liquidity Shocks?." (2018) Rice University: http://hdl.handle.net/1911/99269.
dc.identifier.urihttp://hdl.handle.net/1911/99269
dc.description Submission to the Friends of Fondren Library Research Awards, 2018.
dc.description This paper was originally prepared for Course 2017 Fall: Third-year paper (required by the program), given by Professor Gustavo Grullon, Department of Finance.
dc.description.abstract There is evidence that equity markets underreact to liquidity shocks. In this paper, I examine whether the presence of public news mitigates such underreaction. I use comprehensive news data and find that when there is important public news in the same months of the liquidity shocks, the price discovery process of liquidity shocks does not get any faster. In certain tests, the drift is actually significantly larger. This shows that even though public news reveals more information to investors and draws more investor attention, it does not help investors incorporate liquidity shocks into prices. If anything, public news only aggravates market’s underreaction to liquidity shocks. Liquidity level overall is difficult for average investors to grasp.
dc.language.iso eng
dc.publisher Rice University
dc.rights This work is licensed under a Creative Commons Attribution 3.0 Unported license.
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/
dc.subjectFinance
dc.title Does Public News Alleviate The Market’s Underreaction to Liquidity Shocks?
dc.subject.keywordliquidity shock
public news
investor attention
information asymmetry
asset pricing
dc.identifier.digital Dong
dc.type.genre Research paper
dc.type.dcmi Text


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