The Market Reaction to Corporate Disclosure: Evidence from Germany

39 Pages Posted: 15 Sep 2012

See all articles by Dominik Dettenrieder

Dominik Dettenrieder

University of Muenster

Erik Theissen

University of Mannheim - Finance Area

Date Written: September 14, 2012

Abstract

We analyze the stock price, trading volume and liquidity reaction to corporate disclosure in Germany. Based on a broad sample of corporate announcements made between 1995 and 2007 we find that the announcements result in significant price changes, increased trading volume, and increased bid-ask spreads. Price changes are more pronounced for firms perceived to be more risky. Absolute price change and abnormal volume are strongly correlated.

Keywords: Corporate announcements, disclosure, event studies

JEL Classification: G12, G14

Suggested Citation

Dettenrieder, Dominik and Theissen, Erik, The Market Reaction to Corporate Disclosure: Evidence from Germany (September 14, 2012). Midwest Finance Association 2013 Annual Meeting Paper. Available at SSRN: https://ssrn.com/abstract=2146816 or http://dx.doi.org/10.2139/ssrn.2146816

Dominik Dettenrieder

University of Muenster ( email )

Schlossplatz 2
M√ľnster, D-48149
Germany

Erik Theissen (Contact Author)

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

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