Abstract

http://ssrn.com/abstract=1556532
 
 

References (162)



 
 

Citations (2)



 


 



Market Reaction to Corporate Press Releases


Andreas Neuhierl


Kellogg School of Management - Department of Finance

Anna Scherbina


University of California, Davis - Graduate School of Management

Bernd Schlusche


Board of Governors of the Federal Reserve System

March 10, 2010


Abstract:     
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

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Date posted: February 21, 2010 ; Last revised: November 13, 2011

Suggested Citation

Neuhierl, Andreas and Scherbina, Anna and Schlusche, Bernd, Market Reaction to Corporate Press Releases (March 10, 2010). Available at SSRN: http://ssrn.com/abstract=1556532 or http://dx.doi.org/10.2139/ssrn.1556532

Contact Information

Andreas Neuhierl
Kellogg School of Management - Department of Finance ( email )
Evanston, IL 60208
United States
Anna D. Scherbina (Contact Author)
University of California, Davis - Graduate School of Management ( email )
One Shields Avenue
Davis, CA 95616
United States
(530) 754-8076 (Phone)
(530) 752-2924 (Fax)
Bernd Schlusche
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
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