Abstract: Information Effects and Stock Market Response to Signs of Firm Deterioration

Edward Altman and Menachem Brenner

Journal of Financial and Quantitative Analysis, 1976, vol. 11, issue 4, 575-575

Abstract: The focus of our study concerns the information effect of newly reported data. Our time frame of reference is the period after the data become available. The information we analyze is generated by a multivariate model which utilizes publicly available data. We concentrate on an extremely poor performing group of companies where the new information indicates a change in status from a going concern to a potential bankruptcy; i.e., the firms possess characteristics similar, to other firms which were bankrupt in the past. Our sample, however, is comprised only of firms which, in fact, did not fail.

Date: 1976
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