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Intradaily price - volume adjustments of NYSE stocks to unexpected earnings

Article Abstract:

The speed and path of adjustment in stocks to the degree of earnings surprise in their quarterly announcements are studied using price-volume transactions data. A differential price-adjustment process was observed, with stocks having large, positive earnings surprises experiencing a faster adjustment compared with those stocks with negative earnings surprises. Volume, transaction frequency, and size were found to be directly related to the absolute degree of surprise, but very favorable earnings-surprise stocks experienced initially a large number of smaller trades while stocks with large unfavorable earnings surprises had relatively fewer transactions but higher volume per trade. (Reprinted by permission of the publisher.)

New York Stock Exchange Inc.

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Measuring international economic linkages with stock market data

Article Abstract:

This article develops a new framework for measuring financial and real economic linkages between countries. Using United States and United Kingdom data from 1957 to 1989, we find closer financial linkages after the Bretton Woods currency arrangement was abandoned and Britain suspended exchange controls. In a pair-wise application to fifteen countries over a shorter period, we also find that news about future dividend growth is more highly correlated between countries than contemporaneous output measures. This suggests that there are lags in the international transmission of economic shocks and that contemporaneous output correlation may understate the magnitude of integration. (Reprinted by permission of the publisher.)

International economic relations

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