(bcornell{at}hss.caltech.edu) 1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675. In 1989, Culter, Poterba, and Summers published an article examining the extent to which ex post movements in aggregate stock prices could be attributed to the arrival of news. The set of macroeconomic variables utilized in the study are the stock market price indexes of Turkey's BIST100 index (BIST), BIST Financial Index (BISTFIN) and the BIST industrial index (BISTIND The relatively small market responses to such news, along with evidence that large market moves often occur on days without any identifiable major news releases, casts doubt on the view that stock price movements are fully explicable by news about future cash flows and discount rates. What moves stock prices? David M. Cutler , James M. Poterba , Lawrence H. Summers The Journal of Portfolio Management Apr 1989, 15 (3) 4-12; DOI: 10.3905/jpm.1989.409212 A central issue in finance is whether stock prices move because of revisions in expected cash flows or discount rates, and by how much of each. Using direct cash flow forecasts, we show that stock returns have a significant cash flow news component whose importance increases with the investment horizon. stock valuations. Because this paper is about the relations between stock prices and fundamentals, we emphasize three broad categories of expla- nations for the recent price rise: changes in corporate earnings growth, changes in consumer preferences, and changes in stock-market participa- tion patterns. Often a stock simply moves according to a short-term trend. On the one hand, a stock that is moving up can gather momentum, as "success breeds success" and popularity buoys the stock higher. On the other hand, a stock sometimes behaves the opposite way in a trend and does what is called reverting to the mean.
J. Lakonishok et al., The impact of institutional trading on stock prices 29. manager in our universe. Only 338 of these changes, or 1.3%, are in the smallest quintile stocks. In contrast, 35.7% of the changes are in the largest quintile stocks, and an additional 34% are in the second-largest quintile.
21 Nov 2019 March 1988. Page 8. Page 9. What Moves Stock Prices? David M. Cutler. KIT. James M. Poterba. MIT and NBER. Lawrence H. Summers. download in pdf format (176 K) · email paper and Empirical Implementation. McQueen and Roley, w3520 Stock Prices, News, and Business Conditions Cutler, Poterba and Summers (1989) employ the VAR model to identify and estimate the relation between macroeconomic news and monthly stock return variance This is a PDF-only article. The first page of the PDF of this article appears above. PreviousNext. Back to top. Explore our content to discover more relevant 10 Dec 2012 Cutler, David M., James M. Poterba and Lawrence Summers, 1989, What moves stock prices, Journal of Portfolio Management, 15: 4-11. Roll,
What moves stock prices? David M. Cutler , James M. Poterba , Lawrence H. Summers The Journal of Portfolio Management Apr 1989, 15 (3) 4-12; DOI: 10.3905/jpm.1989.409212
Its stock price decreases by 10% almost immediately, despite very low or no trading volume. • Informed trading (“Private Information”) – Example: Knowing that there are few interested buyers, SAC Capital determines that HP will get a low price for its PC business. The firm decides to sell its entire $500M stake in HP, lowering its stock price. Stock prices change every day as a result of market forces. By this we mean that share prices change because of supply and demand. If more people want to buy a stock (demand) than sell it (supply), then the price moves up. Conversely, if more people wanted to sell a stock than buy it, there would be greater supply than demand, and the price would fall. Understanding supply and demand is easy. Brogaard, Jonathan and Nguyen, Thanh Huong and Putnins, Talis J. and Wu, Eliza, What Moves Stock Prices? The Role of News, Noise, and Information (September 1, 2019). AFA Annual Meeting 2020, Forthcoming.
14 Oct 2019 The stock market is a volatile environment with dramatic moves that give investors positive or negative signs about stock market returns. Both
We find that stock prices increase (decrease) when analysts change their risk ratings toward lower (higher) risk controlling for changes in stock recommendations, a ecting stock prices. The paper has many interesting ndings. Some of them are listed as follows. 1) The hypothesis that expected stock returns move sentiment affects stock prices, but rather how to measure investor sentiment and quantify its stocks are indeed more sensitive to sentiment, in the sense that their prices co-move more www.people.hbs.edu/rgreenwood/Mfage8.pdf. Hong 14 Oct 2019 The stock market is a volatile environment with dramatic moves that give investors positive or negative signs about stock market returns. Both stock prices of Israeli companies. The results add to the literature studying factors that move the stock market. Fama (1990) and Schwert (1990) show that only
the view that all stock price movements rationally incorporate news about stock major stock market moves, covering over 1,100 jumps of +/- 2.5% since 1900 in Automated categorization is in part limited to the quality of the PDF files being
paradigm the projects elaborate prototypes for trend and stock price prediction. ”What moves stock prices” [CPS89] is a pioneer study from 1989 examining a the view that all stock price movements rationally incorporate news about stock major stock market moves, covering over 1,100 jumps of +/- 2.5% since 1900 in Automated categorization is in part limited to the quality of the PDF files being We find that the source of this disproportionately large cumulative price impact of Note: Type of Document - pdf; prepared on IBM PC; to print on HP/PostScript; information is not yet reflected in the market price of a stock and the price is expected to move in the desired direction. In anticipation of a positive decision by the hypothesis that stock prices move in response to news that is observed by market participants but not by investigators studying the markets is irrefutable, we are amounts of stock price volatility if one allows for small deviations from rational expectations. We Marcet: Institut d'Anàlisi Econòmica CSIC, ICREA, MOVE,.