Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23410
Authors: 
Muntermann, Jan
Güttler, André
Year of Publication: 
2005
Series/Report no.: 
Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 145
Abstract: 
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.
Subjects: 
ad hoc disclosure rules
intraday stock price adjustments
market efficiency
JEL: 
K22
G14
Document Type: 
Working Paper

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