The impact of the announcement of a takeover bid has been widely tested in foreign literature. Therefore, the main goal of this paper is to research the impact of the announcement of a takeover bid on the share price movements in the Croatian capital market and whether the results are consistent...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

When an event is anticipated, the firm's stock return around the announcement of the event may have an inconsistent sign: a positive sign around negative news, or vice versa. We attempt to quantify the frequency of this problem, first with a brief mathematical model and simulation, then with...

We study the process of corporate restructuring for a sample of 298 firms during the 1989-98 period that announce that they are considering restructuring alternatives. We find that restructuring is a lengthy process, with the majority of the restructuring period occurring prior to any definitive...

This paper offers an improvement to the trade-to-trade model for event studies. While the trade-to-trade model of Maynes and Rumsey (1993) addresses the problem of thin trading by eliminating periods in which no trading is recorded, the proposed improvement addresses the influence of zero-value...

In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-minute price movement configurations based on High-Low-Open-Close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance,...

Issues in the construction of corporate bond event studies using bond transaction data are explored. We show that the procedures used in studies to date have relatively low power because they fail to control for the substantial heteroskedasticity in bond returns due to differences in...

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 procedures used in corporate bond event studies to date fail to control for heteroskedasticity due to differences in return volatility by term-to-maturity, rating, and other factors resulting in low test power. Bond return standardization yields considerably more powerful tests. Also, due to...