Brigham Young University. We thank Kalok Chan, Heber Farnsworth, Pete Frost, Tim Mech, seminar participants at the University of Colorado at Boulder, the University of Utah, and the 1996 AFA meeting, particularly Andrew Lo, session chair, and Craig MacKinlay, discussant. The Harold F. Silver Fund at BYU provided financial support for databases and research assistance.
Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns
Version of Record online: 30 APR 2012
© 1996 the American Finance Association
The Journal of Finance
Volume 51, Issue 3, pages 889–919, July 1996
How to Cite
MCQUEEN, G., PINEGAR, M. and THORLEY, S. (1996), Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns. The Journal of Finance, 51: 889–919. doi: 10.1111/j.1540-6261.1996.tb02711.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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