Abstract

https://ssrn.com/abstract=314880
 
 

References (31)



 
 

Citations (5)



 


 



What Firm-Specific News Releases Drive Economically Significant Stock Returns and Trading Volumes?


Paul Ryan


University of London - Faculty of Social Science and Public Policy

Richard Taffler


Manchester Business School

March 2002

EFMA 2002 London Meetings

Abstract:     
This paper identifies the firm-specific information events that drive economically relevant stock price and trading volume changes. It employs a novel methodology that is not constrained by an arbitrarily determined set of information events and allows for event anticipation and information leakage prior to public disclosure.

We find that no less than 65% of significant price changes and trading volume movements in our sample can be readily explained by public domain information. In addition, we find that a parsimonious set of news categories represent the key drivers.

Sell-side analyst stock recommendations and earnings forecast revisions as a class, unaccompanied by other newsreleases, dominate all other news categories in terms of significant market reaction. They explain 17.4% of major market-adjusted price changes and 16.1% of significant trading volume activity triggered by reported corporate news events. In particular, this compares with 17.0% (15.2%) of economically significant price changes (trading volume movements) driven by firms' formal accounting releases.

However, taking into account the relative magnitude of market response to different news releases, firms' formal accounting disclosures dominate within this domain. As such, we conclude these are not fully anticipated by apparently more timely market disclosures, and that the existence of news services and the activities of the sell-side analyst are not substitutes for a firm's interim and preliminary results.

Number of Pages in PDF File: 36

JEL Classification: G0


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Date posted: June 20, 2002  

Suggested Citation

Ryan, Paul and Taffler, Richard, What Firm-Specific News Releases Drive Economically Significant Stock Returns and Trading Volumes? (March 2002). EFMA 2002 London Meetings. Available at SSRN: https://ssrn.com/abstract=314880 or http://dx.doi.org/10.2139/ssrn.314880

Contact Information

Paul Ryan
University of London - Faculty of Social Science and Public Policy ( email )
London, SE1 9NN
United Kingdom
Richard J. Taffler (Contact Author)
Manchester Business School ( email )
Crawford House
Oxford Road
Manchester M13 9PL
United Kingdom
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