Stock Prices and the Publication of Second-Hand Information
Stock Prices and the Publication of Second-Hand Information Author(s): Peter Lloyd Davies and Michael Canes Reviewed work(s): Source: The Journal of Business, Vol. 51, No. 1 (Jan., 1978), pp. 43-56 Published by: The University of Chicago Press Stable URL: http://www.jstor.org/stable/2352617 . Accessed: 25/02/2013 12:03
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp
.
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.
.
The University of Chicago Press is collaborating with JSTOR to digitize, preserve and extend access to The Journal of Business.
http://www.jstor.org
This content downloaded on Mon, 25 Feb 2013 12:03:26 PM All use subject to JSTOR Terms and Conditions
Peter Lloyd Davies*
University of Rochester
Michael Canes*
American Petroleum Institute
Stock Prices and the Publicationof Second-Hand Information
Introduction Considerable evidence has accumulated over the past 10 years suggesting that the stock market adjusts in an efficient manner to the arrival of new information. Claims by technical analysts that excess returns may be earned by studying price movements have found little support in studies by Fama and Blume (1966), Jensen and Benington (1970), and others.' Investigations of price movements accompanying economic events (e.g., Ball and Brown [1968] on earnings announcements, Fama et al. [1969] on stock splits) likewise have offered little hope that trading based on these announcements will be profitable. Perhaps most significantly, the gross returns earned by professional portfolio managers do not appear to be higher, given the
Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp
.
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.
.
The University of Chicago Press is collaborating with JSTOR to digitize, preserve and extend access to The Journal of Business.
http://www.jstor.org
This content downloaded on Mon, 25 Feb 2013 12:03:26 PM All use subject to JSTOR Terms and Conditions
Peter Lloyd Davies*
University of Rochester
Michael Canes*
American Petroleum Institute
Stock Prices and the Publicationof Second-Hand Information
Introduction Considerable evidence has accumulated over the past 10 years suggesting that the stock market adjusts in an efficient manner to the arrival of new information. Claims by technical analysts that excess returns may be earned by studying price movements have found little support in studies by Fama and Blume (1966), Jensen and Benington (1970), and others.' Investigations of price movements accompanying economic events (e.g., Ball and Brown [1968] on earnings announcements, Fama et al. [1969] on stock splits) likewise have offered little hope that trading based on these announcements will be profitable. Perhaps most significantly, the gross returns earned by professional portfolio managers do not appear to be higher, given the