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Market Reaction to Corporate Press Releases

Published online by Cambridge University Press:  19 September 2013

Andreas Neuhierl
Affiliation:
a-neuhierl@kellogg.northwestern.edu, Kellogg Graduate School of Management, Northwestern University, 2001 Sheridan Rd, Evanston, IL 60208
Anna Scherbina
Affiliation:
ascherbina@ucdavis.edu, Graduate School of Management, University of California at Davis, 1 Shields Ave, Davis, CA 95616
Bernd Schlusche
Affiliation:
bernd.schlusche@frb.gov, Board of Governors of the Federal Reserve System, 20th St & Constitution Ave NW, Washington, DC 20551.

Abstract

We classify a unique and comprehensive data set of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate strategy, customers and partners, products and services, management changes, and legal developments. Consistent with regulators' expectations, the level of informational asymmetry in the market declines following most types of press releases. At the same time, return volatility frequently increases in the post-announcement period, which we show can be attributed to higher levels of valuation uncertainty.

Type
Research Articles
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2013 

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