Ederington and Lee are from the University of Oklahoma. The authors acknowledge the helpful comments of Steve Andrews, Tim Dunne, R. W. Hafer, Scott Linn, participants in the finance workshop at the University of Oklahoma, an anonymous referee, and the editor, René Stulz. The Center for Financial Studies at the University of Oklahoma provided financial support for data acquisition. Lee was partially supported by a Noble Research Grant from the University of Oklahoma.
How Markets Process Information: News Releases and Volatility
Article first published online: 30 APR 2012
1993 The American Finance Association
The Journal of Finance
Volume 48, Issue 4, pages 1161–1191, September 1993
How to Cite
EDERINGTON, L. H. and LEE, J. H. (1993), How Markets Process Information: News Releases and Volatility. The Journal of Finance, 48: 1161–1191. doi: 10.1111/j.1540-6261.1993.tb04750.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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