The Market Reaction to Corporate Disclosure: Evidence from Germany
39 Pages Posted: 15 Sep 2012
Date Written: September 14, 2012
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
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