Good news is no news
van Dijk studied short-term price movements on the New York stock exchange in response to unexpected interest rate announcements. He found an interesting asymmetry: good news (ie, a rate cut) leads to a response which depends on the weight of the news (the amount by which interest rates are cut; bad news (a rate increase) creates a response that does not reflect the magnitude of the change. As theory predicts, expected rate change announcements create no significant response.
By tracking price movements on a minute-by-minute basis, van Dijk also identifies the speed with which prices can move in response to unexpected news: an unexpected interest rate adjustment of 0.25% leads to a return of more than 1% within five minutes.