The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Delayed Reaction to Good News and the Cross‐Autocorrelation of Portfolio Returns
Abstract
We document a directional asymmetry in the small stock concurrent and lagged response to large stock movements. When returns on large stocks are negative, the concurrent beta for small stocks is high, but the lagged beta is insignificant. When returns on large stocks are positive, small stocks have small concurrent betas and very significant lagged betas. That is, the cross‐autocorrelation puzzle documented by Lo and MacKinlay (1990a) is associated with a slow response by some small stocks to good, but not to bad, common news. Time series portfolio tests and cross‐sectional tests of the delay for individual securities suggest that existing explanations of the cross‐autocorrelation puzzle based on data mismeasurement, minor market imperfections, or time‐varying risk premiums fail to capture the directional asymmetry in the data.
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Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
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The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
Business conditions and expected returns on stocks and bonds
Fama, E. F., & French, K. R. (1989) · Journal of Financial Economics · doi:10.1016/0304-405x(89)90095-0 · Cited by 3,933
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Lo, A. W., & MacKinlay, A. C. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.41 · Cited by 3,731
Permanent and Temporary Components of Stock Prices
Fama, E. F., & French, K. R. (1988) · Journal of Political Economy · doi:10.1086/261535 · Cited by 3,025
Scharfstein, D. S., & Stein, J. C. (1988) · American Economic Review · Cited by 2,783
Risk measurement when shares are subject to infrequent trading
Dimson, E. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90013-8 · Cited by 2,754
Estimating betas from nonsynchronous data
Scholes, M., & Williams, J. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90041-1 · Cited by 2,743
Evidence of Predictable Behavior of Security Returns
JEGADEESH, N. (1990) · The Journal of Finance · doi:10.1111/j.1540-6261.1990.tb05110.x · Cited by 2,694
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Cited by
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Industry Information Diffusion and the Lead-lag Effect in Stock Returns
Hou, K. (2007) · Review of Financial Studies · doi:10.1093/revfin/hhm003 · Cited by 601
Metadata
- Authors
- MCQUEEN, G., PINEGAR, M., & THORLEY, S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1996-07
- Volume
- 51
- Issue
- 3
- Pages
- 889-919
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1963881500
- Cited by
- 274
- References
- 39
- FWCI
- 13.20
- Type
- journal article
- Language
- en
- Open access
- closed
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- MCQUEEN, G., PINEGAR, M., & THORLEY, S. (1996). Delayed Reaction to Good News and the Cross‐Autocorrelation of Portfolio Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1996.tb02711.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
