The Adjustment of Stock Prices to New Information

By Eugene F. Fama, L. Fisher, Michael C. Jensen, Richard Roll. 1969

How researchers see this paper

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Are Markets Truly Efficient? Experiments Using Deep Learning Algorithms for Market Movement Prediction (2018, neutral): “Event study tests, beginning with [4] also use information from the same time series, and complement this data with the return on the market index.”
Information Demand and Stock Market Volatility (2012, background): “The link between information flow and financial markets is well known to financial economists (see, for example, Fama et al., 1969; French and Roll, 1986).”
The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020, unknown): “, [34] first proposed the method systematically.”
Conducting Event Studies on a Small Stock Exchange (2007, methodology): “Notes 1 Although event studies date back to the 1930s, the papers by Ball and Brown (1968) and Fama et al. (1969) introduced the methods used today.”
The Effect of Internet Security Breach Announcements on Market Value: Capital Market Reactions for Breached Firms and Internet Security Developers (2004, background): “Security problems may signal to the market that the firm is not concerned about customer privacy or that its internal security practices are poor, and this may lead investors to question the firm’s long-term performance [32].”
Market efficiency, long-term returns, and behavioral finance 1 The comments of Brad Barber, David Hi (1998, background): “Beginning with Fama et al. (1969), AARs and CARs are a common approach to examining long-term returns.”