The Impact of Information Release on Stock Price Volatility and Trading Volume: The Rights Offering Case

Sung C Bae and Hoje Jo

Review of Quantitative Finance and Accounting, 1999, vol. 13, issue 2, 153-69

Abstract: This paper examines whether information released via rights offering announcements induces changes in price volatility and trading volume of underlying stock. The results of this paper provide support for the release of new information via offering announcements and evidence of its effects on price volatility and volume of underlying stock. Specifically, utilization of the announced information by investors is evidenced by greater trading volume following the announcement date than during the pre-announcement period. We interpret this result to mean that informedness dominates consensus. However, stock price volatility decreased from the pre-announcement period to the post-expiration period of rights offerings. Copyright 1999 by Kluwer Academic Publishers

Date: 1999
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