Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2255
Título: How sensitive are price sensitive events?
Autor: Duque, João
Pinto, Inês
Palavras-chave: Price Sensitive Events
Event Studies
Semi-strong Form Efficiency
Abnormal Return
Abnormal Trading Volume
Security Regulation
Data: 2004
Editora: ISEG – Departamento de Gestão
Citação: Duque, João e Inês Pinto. 2004. "How sensitive are price sensitive events?". Instituto Superior de Economia e Gestão – Departamento de Gestão Working papers series nº 4-2004
Relatório da Série N.º: Working papers series;nº 4-2004
Resumo: According to the Portuguese law and in line with the regulatory framework of the majority of the European capital markets (namely the UK market), security issuers have the obligation to reveal, in an appropriate way, publishable information, in order to avoid information asymmetry. This information is classified into two categories: the first called "Price Sensitive Events" and the second under the designation "Other Events/Communications" and, as it is expected, it does not necessarily influence share prices in a material way. The Portuguese regulator (CMVM - Comissão do Mercado de Valores Mobiliários) defines its website as the appropriate manner to disseminate this publishable information through the market. This study aims to find out how price sensitive these revealed price sensitive events are, and how timely the market reaction to their disclosure is. We applied the traditional event studies methodology, not only concerning stock prices, but also the trading volume (number of traded shares). Thus, we tested the hypothesis of the existence of an abnormal stock price returns and abnormal trading volume around or about the day, on which the price sensitive event was disclosed. Using a database of 1828 events that were considered significant for this purpose by issuers and collected from the regulators' website from 01/1/2000 to 31/12/2002, we found an average abnormal return of 0.23% on the announcement day with a subsequent price stabilization. However, when the sample was split up into good and bad news, we found an average abnormal return of +1.92% and -0.93% respectively. Although the return to equilibrium proved to be slower with regard to the trading volume, we found that, on average, there was an excess of activity around the announcement day. We can therefore conclude that the disclosure of price sensitive events classified as such contain useful market information, and that this information is incorporated in an efficient way in the share price formation process. However, the release of information seems to be done in a delayed way in comparison to what we would expect.
URI: http://hdl.handle.net/10400.5/2255
Versão do Editor: http://www.iseg.utl.pt/departamentos/gestao/wp/N4_2004.pdf
Aparece nas colecções:DG - Documentos de trabalho / Working Papers

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