Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case
24 Pages Posted: 1 Feb 2005
This paper examines intraday stock price and trading volume effects caused by ad hoc disclosures in Germany. The evidence suggests that the stock prices react within 30 minutes after the ad hoc disclosures. The adjustment of the trading volume needs even more time. We find no evidence for abnormal high price nor trading volume reactions in the 5 transactions before ad hoc disclosures. The bigger the company, which announces an ad hoc disclosure, the less severe the abnormal price effect, following the announcement, is. The higher the trading volume at the last trading day before the announcement, the higher the price and trading volume effects, after the ad hoc disclosures, are.
Keywords: Ad hoc disclosure rules, intraday stock price adjustments, market efficiency
JEL Classification: G14, K22
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