Are stock market event studies affected by the price range of shares? The Canadian experience

Robert Hanrahan, Joseph Kushner and Isidore Masse

Applied Economics Letters, 1998, vol. 5, issue 5, 313-315

Abstract: This study uses event date methodology to examine whether low priced and high priced shares respond differently to market events. Our results indicate that in response to takeover announcements, low priced shares are more price volatile and unlike higher priced shares decline after the event date. Recognition of share prices should therefore be considered in event studies and in particular when comparing the results of different studies.

Date: 1998
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DOI: 10.1080/758524408

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