Market Reaction to Corporate Press Releases
Kellogg School of Management - Department of Finance
University of California, Davis - Graduate School of Management
Board of Governors of the Federal Reserve System
March 10, 2010
We classify a unique and comprehensive dataset 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.
Number of Pages in PDF File: 58
Keywords: Corporate News, Event Study, Market Efficiency
JEL Classification: G01, G10, G14, G30
Date posted: February 21, 2010 ; Last revised: November 13, 2011
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