It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

We examine stock market returns at short intervals following after-hours earnings announcements to determine whether the opening price set by NYSE market makers is efficient. Our tests of return volatility, correlation of the close-to-open return with subsequent returns, and trading strategies...

Although previous research has suggested that the level of disclosure is positively related to stock market efficiency, it remains unclear whether an increase in the level of disclosure can facilitate price discovery regardless of the quality of information provided in the disclosure. We examine...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

Previous research in finance has found evidences of both overreaction and underreaction to unanticipated events, but has yet to explain why investors overreact to certain events while underreacting to others. In this paper, we hypothesize that while market participants generally underreact to...

11.08.2011 tarihli Sermaye Piyasası Kurulu duyurusunda, İstanbul Menkul Kıymetler Borsası'nda Ağustos 2011 döneminde yaşanan dalgalanmalar ve kayıplar gerekçe gösterilerek açığa satışlarda başlangıç teminatı oranının %50'den %70'e çıkarıldığı ifade edilmiştir. Söz...

Market efficiency is examined in three forms: weak form, semi-strong form and strong form and each one deals with a different source of information. 1. Weak form efficient market - the prices of securities fully reflect all historical information and no excess returns can be earned by utilising...

The inability of price to incorporate public information is a consequence of the illiquidity of price itself. This presupposition is predicated on a recurring event within the pharmaceutical sector of the stock market: the approval or denial of new drugs for commercial distribution. The Federal...

The literature has used small samples to show that fast trading or low latency trading (LLT) improves efficiency at extremely high frequencies. However, it is not clear whether LLT driven high frequency improvements in efficiency can impact corporate decision making and investor risk sharing or...

This article examines announcement effects of 240 international joint ventures undertaken by firms to ascertain their impact on shareholders' wealth. The positive-multinational-network hypothesis suggests that the market reaction should be related to the option value of the venture. To test the...