Market Reaction to Corporate Press Releases

58 Pages Posted: 21 Feb 2010 Last revised: 13 Nov 2011

Andreas Neuhierl

University of Notre Dame - Department of Finance

Anna Scherbina

University of California, Davis - Graduate School of Management

Bernd Schlusche

Board of Governors of the Federal Reserve System

Date Written: 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.

Keywords: Corporate News, Event Study, Market Efficiency

JEL Classification: G01, G10, G14, G30

Suggested Citation

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

Andreas Neuhierl

University of Notre Dame - Department of Finance ( email )

P.O. Box 399
Notre Dame, IN 46556-0399
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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