Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Arbeitspapier

This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal price reactions or abnormal trading volume before announcements. The bigger the company that announces an ad hoc disclosure, the less severe is the abnormal price effect following the announcement. The number of analysts is negatively correlated to the trading volume effect before the ad hoc disclosure. The higher the trading volume on the last trading day before the announcement, the greater is the price effect after the ad hoc disclosures and the greater the trading volume effect.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper Series: Finance & Accounting ; No. 145

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business and Securities Law ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: ad hoc disclosure rules ; intraday stock price adjustments ; market efficiency ; Börsenkurs ; Zeit ; Publizitätspflicht ; Ankündigungseffekt ; Effizienzmarktthese ; Schätzung ; Deutschland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Muntermann, Jan ; Güttler, André
• Ereignis: Veröffentlichung
• (wer): Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
• (wo): Frankfurt a. M.
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/23410
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ