Information processing on the Swiss stock market

This is a preview of subscription content, access via your institution.

References

  1. AHARONY, J. and I. SWARY (1980): “Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis”, Journal of Finance, 35(1), pp. 1–12.

    Google Scholar 

  2. BEAVER, W. (1968): “The Information Content of Annual Earnings Announcements”, Journal of Accounting Research, 6(3), pp. 67–92.

    Google Scholar 

  3. BERNARD, V. L. and J. THOMAS (1989): “Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?”, Journal of Accounting Research, 27(3), pp. 1–36.

    Google Scholar 

  4. CAMPBELL, J. Y., A. W. LO and A. C. MACKINLAY (1997): “The Econometrics of Financial Markets”, Princeton, NJ: Princeton University Press.

    Google Scholar 

  5. CHEN, C. R., J. W. LIN and D. A. SAUER (1997): “Earnings announcements, quality and quantity of information, and stock price changes”, Journal of Financial Research, 20(4), pp. 483–502.

    Google Scholar 

  6. CHUNG, K. and C. CHAROENWONG (1998): “Insider Trading and the Bid-Ask Spread”, Financial Review, 33(3), pp. 1–20.

    Article  Google Scholar 

  7. CONRAD, J. and C. M. NIDEN (1992): “Order flow, trading costs and corporate acquisition announcements”, Financial Management, 21(4), pp. 22–31.

    Google Scholar 

  8. DU, J. and S. WIE (2003): “Does Insider Trading Raise Market Volatility?”, National Bureau of Economic Research Working Paper: 9541.

  9. FERREIRA, E. J. and L. D. BROOKS (2000): “Re-released Information in The Wall Street Journal's ‘Insider Trading Spotlight’ Column”, Quarterly Journal of Business & Economics, 39(1), pp. 22–34.

    Google Scholar 

  10. GIVOLY, D. and D. PALMON (1985): “Insider Trading and the Exploitation of Inside Information: Some Empirical Evidence”, Journal of Business, 58(1), pp. 69–87.

    Article  Google Scholar 

  11. HILLMER, S. C. and P. L. YU (1979): “The Market Speed of Adjustment to New Information”, Journal of Financial Economics, 7(4), pp. 321–345.

    Article  Google Scholar 

  12. JAFFE, J. F. (1974): “The Effect of Regulation Changes on Insider Trading”, Bell Journal of Economics and Management Science, 5(1), pp. 93–121.

    Google Scholar 

  13. JAIN, P. C. (1988): “Response of Hourly Stock Prices and Trading Volume to Economic News”, Journal of Business, 61(2), pp. 219–231.

    Article  Google Scholar 

  14. JENG, L. A., A. METRICK and R. ZECKHAUSER (2003): “Estimating the Returns to Insider Trading: A Performance-Evaluation Perspective”, Review of Economics & Statistics, 85(2), pp. 453–471.

    Google Scholar 

  15. JENG, L. A., A. METRICK and R. ZECKHAUSER (1999): “The Profits to Insider Trading: A Performance-Evaluation Perspective”, National Bureau of Economic Research Working Paper: 6913.

  16. JENNINGS, R. H. and C. B. BARRY (1983): “Information Dissemination and Portfolio Choice”, Journal of Financial & Quantitative Analysis, 18(1), pp. 1–19.

    Google Scholar 

  17. KARPOFF, J. M. (1987): “The Relation between Price Changes and Trading Volume: A Survey”, Journal of Financial & Quantitative Analysis, 22(1), pp. 109–126.

    Google Scholar 

  18. KEOWN, A. J. and J. M. PINKERTON (1981): “Merger Announcements and Insider Trading Activity: An Empirical Investigation”, Journal of Finance, 36(4), pp. 855–869.

    Google Scholar 

  19. KIM, O. and R. E. VERRECCHIA (1991): “Trading Volume and Price Reactions to Public Announcements”, Journal of Accounting Research, 29(2), pp. 302–21.

    Google Scholar 

  20. LAKONISHOK, J. and I. LEE (1998): “Are Insiders' Trades Informative?”, National Bureau of Economic Research Working Paper: 6656.

  21. LEE, C., B. MUCKLOW and M. READY (1993): “Spreads, depths, and the impact of earnings information: an intraday analysis”, Review of Financial Studies, 6(2), pp. 345–374.

    Article  Google Scholar 

  22. LELAND, H. E. (1992): “Insider trading: Should it be prohibited?”, Journal of Political Economy, 100(4), pp. 859–887.

    Article  Google Scholar 

  23. MACKINLAY, A. C. (1997): “Event studies in economics and finance”, Journal of Economic Literature, 35(1), pp. 13–39.

    Google Scholar 

  24. MEULBROEK, L. K. (1992): “An Empirical Analysis of Illegal Insider Trading”, Journal of Finance, 47(5), pp. 1661–1699.

    Google Scholar 

  25. MORSE, D. (1981): “Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination”, Journal of Accounting Research, 19(2), pp. 374–383.

    Google Scholar 

  26. SEYHUN, N. (1992): “Why does aggregate insider trading predict future stock returns?”, Quarterly Journal of Economics, 107(4), pp. 1303–1331.

    Google Scholar 

  27. SEYHUN, N. (1988): “The Information Content of Aggregate Insider Trading”, Journal of Business, 61(1), pp. 1–24.

    Article  Google Scholar 

  28. SEYHUN, N. (1986): “Insiders' Profits, Costs of Trading, and Market Efficiency”, Journal of Financial Economics, 16(2), pp. 189–212.

    Article  Google Scholar 

  29. SUOMINEN, M. (2001): “Trading Volume and Information Revelation in Stock Markets”, Journal of Financial & Quantitative Analysis, 36(4), pp. 545–565.

    Article  Google Scholar 

  30. SWISS EXCHANGE (1996): “Ad hoc-Publicity”.

Download references

Author information

Affiliations

Authors

Rights and permissions

Reprints and Permissions

About this article

Cite this article

Ammann, M., Kessler, S. Information processing on the Swiss stock market. Fin Mkts Portfolio Mgmt 18, 256–283 (2004). https://doi.org/10.1007/s11408-004-0303-x

Download citation

Keywords

  • Information Processing
  • Stock Market
  • Swiss Stock Market