Market efficiency under ad hoc information: evidence from Germany

Matthias Bank () and Ralf Baumann ()

Financial Markets and Portfolio Management, 2015, vol. 29, issue 3, 173-206

Abstract: This paper focuses on how ad hoc disclosures affect German stock market efficiency. An event study based on absolute abnormal returns and regression analyses is conducted to investigate markets not only on event day, but also prior to and after the issuance of ad hoc information. Event-day reactions are found to depend on index affiliation, market uncertainty, disclosure periodicity, and the informativeness of the disclosure. Although reacting very efficiently in the post-event period, market prices are subject to adjustment several days after disclosure. The most important finding is that information related to periodic reports diffuses into the market prior to report issuance. Copyright Swiss Society for Financial Market Research 2015

Keywords: Market efficiency; Stock price adjustment; Ad hoc disclosure; G14; G18; K22 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11408-015-0250-8

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