市场对公司信息披露的反应:来自德国的证据

Other tracks (not otherwise listed above) Pub Date : 2012-09-14 DOI:10.2139/ssrn.2146816

Dominik Dettenrieder, E. Theissen

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引用次数: 1

摘要

我们分析了德国股票价格、交易量和流动性对公司信息披露的反应。基于1995年至2007年间公司公告的广泛样本，我们发现公告导致显著的价格变化，交易量增加，买卖价差增加。对于被认为风险较大的公司，价格变化更为明显。绝对价格变动与异常成交量有很强的相关性。

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The Market Reaction to Corporate Disclosure: Evidence from Germany

We analyze the stock price, trading volume and liquidity reaction to corporate disclosure in Germany. Based on a broad sample of corporate announcements made between 1995 and 2007 we find that the announcements result in significant price changes, increased trading volume, and increased bid-ask spreads. Price changes are more pronounced for firms perceived to be more risky. Absolute price change and abnormal volume are strongly correlated.

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