Intraday stock price effects of ad hoc disclosures : the German case
- 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. Keywords: ad hoc disclosure rules, intraday stock price adjustments, market efficiency.
| Author: | Jan MuntermannORCiDGND, André GüttlerGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-5746 |
| Parent Title (English): | Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 145 |
| Series (Serial Number): | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (145) |
| Publisher: | Univ., Fachbereich Wirtschaftswiss. |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2005 |
| Year of first Publication: | 2005 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/04/11 |
| Tag: | ad hoc disclosure rules; intraday stock price adjustments; market efficiency |
| GND Keyword: | Preisbildung; Aktienmarkt; Deutschland; Aktienkurs |
| Page Number: | 35 |
| Source: | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting ; 145 |
| HeBIS-PPN: | 128813385 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
