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The impact of public news on return predictability following major one-day price or volume shocks: Evidence for Canada

Title:

The impact of public news on return predictability following major one-day price or volume shocks: Evidence for Canada

Duan, Siyu (2015) The impact of public news on return predictability following major one-day price or volume shocks: Evidence for Canada. Masters thesis, Concordia University.

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Abstract

This paper focuses on the stocks that experience large one-day price or volume movements in
Canadian stock market and explores the relationship between the release of public news and the
short-term post-event stock return predictability. First, I find that in general, large one-day price
changes signal the following poor performance, while large volume increases predict good
performance in the near future. Then I divide the samples into informed and uninformed events
base on the presence of contemporary public news. I find that for both price and volume shocks,
informed events tend to experience more price drifts than uninformed events. For stocks with
negative initial price changes, informed events lead to price continuations while uninformed
events are followed by price reversals. The results suggest that stock price patterns become more
predictable after taking account of the availability of public news. Finally, a portfolio strategy
suggests that investors can profit from the information conveyed jointly by the large price
movement, abnormal trading volume and availability of public news, reflecting a violation of
weak-form market efficiency.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Duan, Siyu
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:28 August 2015
Thesis Supervisor(s):Switzer, Lorne N.
ID Code:980360
Deposited By: SIYU DUAN
Deposited On:04 Nov 2015 20:10
Last Modified:18 Jan 2018 17:51
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