 Reactions of the London Stock Exchange to Company Trading Statement AnnouncementsNick Collett Journal of Business Finance & Accounting, 2004, vol. 31, issue 1‐2, 3-35 Abstract: Using event study methodology, we examine market reactions to nearly 2,000 trading statements during the period 1995‐2001. We find that profit warnings outnumber upgrades by 50%, and, in line with previous US studies, we find that market reaction to the actual announcements is considerably greater for profit warnings than for upgrades.Sub‐samples demonstrate significant market reaction to profit warnings for all sizecontrolled portfolios, but that reaction to the announcements is greatest for small companies.Examination of pre‐ and post‐announcement CARs shows no pre‐announcement market anticipation of the announcements.Post‐announcement there is a significant positive abnormal return on the day after the announcement of bad news for the small company subsample.Other post‐announcement results are small and insignificant.Trading volume results are consistent with this picture. Finally, when the trading statements are examined for news on turnover and margin changes, we find that the market reaction to margin changes is greater than market reaction to turnover changes. Date: 2004 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:31:y:2004:i:1-2:p:3-35 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker More articles in Journal of Business Finance & Accounting from Wiley Blackwell |
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