RATIONAL INVESTORS' REACTION TO UNCERTAINTY: EVIDENCE FROM THE WORLD'S MAJOR MARKETS
- 1 June 1994
- journal article
- Published by Wiley in Journal of Business Finance & Accounting
- Vol. 21 (4) , 533-545
- https://doi.org/10.1111/j.1468-5957.1994.tb00334.x
Abstract
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.Keywords
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