Paths to Convergence: Stock Price Adjustment After the Trump Election Shock

A. Wagner, R. Zeckhauser, Alexandre Ziegler
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引用次数: 3

Abstract

How do market prices adjust towards stability after a shock? Tracking individual stock prices following their dramatic shakeup after Donald Trump’s surprise election provides an answer. Prices moved overwhelmingly in the appropriate direction on the first post-election day, albeit much too little. Relative prices needed several daily iterations to converge. Three days of historically strong cross-sectional momentum were followed by a brief reversal. Prices then settled. Firm characteristics that explained first-day returns, such as corporate taxes and foreign revenues, accounted for most of the observed momentum. These findings support prominent theories of slow but predictable diffusion of information into prices.
趋同之路:特朗普选举冲击后的股价调整
市场价格如何在震荡后趋于稳定?追踪唐纳德•特朗普(Donald Trump)意外当选后股价大幅震荡的个股价格可以提供答案。在大选后的第一天,价格压倒性地朝着适当的方向移动,尽管幅度太小。相对价格需要每天多次迭代才能趋于一致。三天的历史性强劲横盘势头之后出现了短暂的逆转。价格随后稳定下来。解释首日收益的公司特征,如公司税和外国收入,是观察到的动量的主要原因。这些发现支持了信息在价格中缓慢但可预测的扩散的著名理论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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