Intradaily Price‐Volume Adjustments of NYSE Stocks to Unexpected Earnings

Woodruff, Catherine S.; Senchack, Andrew J.

doi:10.1111/j.1540-6261.1988.tb03950.x

Cited by 60 publications

(28 citation statements)

References 31 publications

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“…We also find that, at 90 minutes, the process lasts 30 minutes longer for the non-members of an index, since we find no significant abnormal price reaction for the time interval (+61;+90) for the 58 ad hoc disclosures of the index members. Compared with the results of previous intra-day event studies, our price adjustment processes are slower than the process for earnings and dividend announcements found by Patell and Wolfson (1984), for unexpected earnings releases found by Woodruff and Senchak (1988), and for the announcement of new equity issues found by Barclay and Litzenberger (1988). However, the price adjustment processes of our study are still much faster than the eight hours for earnings announcements found by Jennings and Starks (1985), the five hours following announcements of takeovers found by Smith et al (1997), and the four hours following trading halts found by Lee at al.…”

Section: Discussioncontrasting

confidence: 39%

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Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Guettler

Muntermann

2005

SSRN Journal

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This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal price reactions or abnormal trading volume before announcements. The bigger the company that announces an ad hoc disclosure, the less severe is the abnormal price effect following the announcement. The number of analysts is negatively correlated to the trading volume effect before the ad hoc di sclosure. The higher the trading volume on the last trading day before the announcement, the greater is the price effect after the ad hoc disclosures and the greater the trading volume effect.Keywords: ad hoc disclosure rules, intraday stock price adjustments, market efficiency JEL-Classification: G14, K22 1 IntroductionSince early 1995, companies whose shares are traded officially in Germany have been obliged to publish without delay all newly available information which may be of relevance to the price of their stock. This regulation was introduced to prevent insider conflicts caused by asymmetrical information supply. Furthermore, it was believed that a prompt supply of i nformation would increase the amount of information available to the capital market, thus making it easier to perform fair company evaluations.According to the theory of information efficiency, security prices should immediately reflect all information available to the efficient capital market (Fama, 1970). As positive information and trading cost can be expected, this extreme efficiency hypothesis cannot be held (Fama, 1991). This study focuses on the information content provided by ad hoc disclosures pursuant to section 15 of the German Securities Trading Law (WpHG). Therefore, an event study is performed in order to prove the existence of abnormal returns and abnormal trading activity prior to and after the publication date of the announcements. If abnormal returns and trading volume can be observed, the intraday speed of stock price adjustments should provide evidence regarding the market and informa tion efficiency. Furthermore, anticipation effects or insider trading activity can be proven if significant market effects can be observed prior to the announcement date. Consequently, the period following and prior to the publication, for which significant abnormal returns can be observed, has to be analyzed.To date, there have been four empirical studies analyzing the German capital market between 1995 and 1997 which concentrate on daily price effects (Nowak, 2001;Oerke, 1999;and Röder, 1999). All of these studies examine the existence of significant abnormal returns before, during and after the announcement date. Their research goal is to prove the existence of insider trading prior to the announcement date, an efficient market reaction on the announcement date and pheno mena such as herding after the announcement. All of these studies concentrate on ...

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Section: Discussioncontrasting

confidence: 39%

“…Besides, they observe moderately abnormal price reactions in the minus 90 to minus 30 minutes interval before the announcements. Woodruff and Senchak (1988) analyze intraday price reactions caused by unexpected earnings results. They find price reactions occurring up to one hour after the announcements.…”

Section: Review Of the Literaturementioning

confidence: 99%

Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Guettler

Muntermann

2005

SSRN Journal

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“…Dravid (1987Dravid ( ), 1962Dravid ( -1981 dö-nemi için hisse bölünmesi haberlerinin hisse oynaklığını arttırdığını belirlemiştir. Woodruff ve Senchack (1988), 1980'de Amerikan piyasalarında şirketlerin kendileri hakkında açıklamış oldukları olumlu haberlerin hisse fiyatlarını hızlı bir şekilde arttırdığı sonucuna ulaşmışlardır. Woolridge ve Snow (1990), yeni ürün tanıtımlarının ilgili hisse senedi yatırımcılarına pozitif aşırı getiriler sağladığını belirlemişlerdir.…”

Section: Literatür çAlışmasıunclassified

“…Austin (1993), 1991 yılında alınan patent ödülü duyurularının pozitif aşırı getiriler elde edilmesini sağladığını belirlemiştir. Yoon ve Starks (1995), 1969-1988 yılları arasında temettü haberlerinin genellikle pozitif getiriler elde edilmesini sağladığı belirlemiştir. Bajaj ve Vijh (1995);1962-1987 arasın-da kar ve temettü duyurularının hisse senetlerinin işlem hacmi miktarını arttırdığını belirlemişlerdir.…”

Section: Literatür çAlışmasıunclassified

Şi̇rketlere Özgü Haberleri̇n Hi̇sse Performansina Etki̇si̇: Bi̇st-30 Şi̇rketleri̇ Örneği̇

Eyüboğlu¹,

Bulut²

2016

UİİİD

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THE EFFECT OF FIRM-SPECIFIC NEWS TO STOCK PERFORMANCE: CASE OF BIST-30 COMPANIES ABSTRACTThe purpose of this study is to analyze whether the news provides an opportunity to obtain abnormal returns, which news are announced by companies traded in BIST-30 during January 2003 to December 2012. The firm-specific news are classified on 5 main topics which are corporate governance related announcements, financial announcements, legal announcements, operational announcements and restructuring related announcements. The data covers 2143 news announced by BIST-30 companies. For data analysis event study is used. As a result, it is determined investors mostly react to announcements about operational, financial and restructuring news in terms of the average abnormal returns (ARR) at the day of event respectively. Result shows that Borsa Istanbul is not effective at semi-strongly form within the scope of efficient market hypothesis.

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“…[25] identified a different stock price adjustment process for unrealized information set forth in analysts' revisions of earnings estimates. [26] observed the largest adjustment of stock prices to the most favorable earnings news along with higher trading volume upon announcement of unexpected earnings for a sample of NYSE stocks.…”

Section: Analysts' Coverage Influences Earnings Surprisesmentioning

confidence: 99%