Authors : Nur Syazwani Mazlan and George Bulkley
Abstract: We study the process of learning about breaks in the fundamentals of stock prices of the US firms in real time without the benefit of hindsight. The identification of structural breaks takes several years which in turn affects the speed of post-break revision of the new parameters of data generating process. We look at different procedures for break detection, investigate their success and also examine how quickly and efficiently errors get corrected in real time.
Nur Syazwani Mazlan and George Bulkley, 2018. Structural Breaks in Real Time: Evidence from the Firm Level of US Firms. The Social Sciences, 13: 766-768.