Economic surprises and the behaviour of asset prices: Some analyses and further empirical results

Peel, David and Pope, P. (1988) Economic surprises and the behaviour of asset prices: Some analyses and further empirical results. Economics Letters, 27 (4). pp. 375-379. ISSN 0165-1765

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Abstract

This paper examines the implications of serial correlation in asset prices for market efficiency and announcement effect tests. The impact of four types of economic surprise is examined after allowing for observed serial correlation in three asset price series.

Item Type:

Journal Article

Journal or Publication Title:

Economics Letters

Uncontrolled Keywords:

/dk/atira/pure/core/keywords/economics

Subjects:

?? economicsfinanceeconomics and econometricshb economic theory ??

Departments:

Lancaster University Management School > Economics

ID Code:

55920

Deposited By:

ep_importer_pure

Deposited On:

17 Jul 2012 14:14

Refereed?:

Yes

Published?:

Published

Last Modified:

15 Jul 2024 13:00

URI:

https://eprints.lancs.ac.uk/id/eprint/55920