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Type | Working Paper |
Scope | Discipline-based scholarship |
Title | Paths to Convergence: Stock Price Behavior After Donald Trump's Election |
Organization Unit | |
Authors |
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Language |
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Institution | University of Zurich |
Series Name | Swiss Finance Institute Research Paper |
Number | 17-36 |
Date | 2018 |
Abstract Text | 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. |
Free access at | DOI |
Digital Object Identifier | 10.2139/ssrn.3037023 |
Other Identification Number | merlin-id:15250 |
PDF File | Download from ZORA |
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