Electronic copy available at: http://ssrn.com/abstract=1556532
Market Reaction to Corporate Press Releases
Federal Reserve Board
This version: October 31, 2011
We classify a unique and comprehensive dataset of corporate press releases into topicsand study the market reaction to various types of news. While conﬁrming prior ﬁnd-ings regarding strong stock price responses to ﬁnancial news, we also document signiﬁ-cant reactions to news about corporate strategy, customers and partners, products andservices, management changes, and legal developments. Consistent with regulators’expectations, the level of informational asymmetry in the market declines followingmost types of press releases. At the same time, return volatility frequently increasesin the post-announcement period, which we show can be attributed to higher levels of valuation uncertainty.
G01, G10, G14, G30
Corporate News, Event Study, Market Eﬃciency
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