TY  - BOOK
AU  - Giglio,Stefano
AU  - Shue,Kelly
ED  - National Bureau of Economic Research.
TI  - No News is News: Do Markets Underreact to Nothing? 
T2  - NBER working paper series
PY  - 2013///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - March 2013; Hardcopy version available to institutional subscribers
N2  - As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain information. We test whether markets fully incorporate this information using the empirical context of mergers. During the year after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete. We show that the variation in hazard rates of completion after announcement strongly predicts returns. This pattern is consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or frictions.
UR  - https://www.nber.org/papers/w18914
UR  - http://dx.doi.org/10.3386/w18914
ER  -