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Discussion: Information Sets, Macroeconomic Reform, and Stock Prices

Published online by Cambridge University Press:  06 April 2009

Dennis W. Draper
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Extract

The paper by Lakonishok and Sadan represents an interesting attempt to link major economic reform to fundamental issues in financial valuation. Changes instituted by the Israeli government in the fall, 1977, are related to subsequent changes in security returns on the Tel Aviv Securities Exchange. The authors employ an event study methodology to investigate the market reaction to the announced reform, the market reaction to raw data and partially analyzed data, and the market reaction to easily acquired data and less easily acquired data.

Type
Information and Asset Values
Information
Journal of Financial and Quantitative Analysis , Volume 16 , Issue 4 , November 1981 , pp. 511 - 513
Copyright
Copyright © School of Business Administration, University of Washington 1981

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References

REFERENCES

[1]Ball, R. “Anomalies in Relationships between Securities' Yields and Yield Surrogates.” Journal of Financial Economics (1978), pp. 103–126.Google Scholar
[2]Brown, S., and Warner, J.. “Measuring Security Price Performance.” Journal of Financial Economics (1980), pp. 205–258.CrossRefGoogle Scholar
[3]Foster, G. “Accounting Policy Decisions and Capital Market Research.” Journal of Accounting and Economics (1980), pp. 29–62.Google Scholar