Rational Investors’ Reaction to Uncertainty
Evidence from the World’s Major Markets
DOI:
https://doi.org/10.1016/1057-0810(95)90032-2Abstract
This paper examines the reaction of rational investors to unexpected information across the world’s major markets. The empirical results provide considerable support for the Uncertain Information Hypothesis and limited support for the Overreaction Hypothesis. In addition, it is found that investors are compensated for post-event increased volatility across these major markets. Journal ofBusiness Finance & Accounring, June 1994,21(4): 533- 545. (Reprinted with permission of Blackwell Publishers.)
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