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Market efficiency under ad hoc information: evidence from Germany

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  • Matthias Bank
  • Ralf Baumann

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

Suggested Citation

  • Matthias Bank & Ralf Baumann, 2015. "Market efficiency under ad hoc information: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 173-206, August.
    • Handle: RePEc:kap:fmktpm:v:29:y:2015:i:3:p:173-206
    DOI: 10.1007/s11408-015-0250-8
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    References listed on IDEAS

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    Cited by:

    1. Bank, Matthias & Baumann, Ralf H., 2016. "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, vol. 37(C), pages 629-645.
    2. Urban Dariusz, 2017. "The Color of Government Money. Do Investors Differently Value the Investment of Sovereign Wealth Funds?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(1), pages 25-34, November.

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    More about this item

    Keywords

    Market efficiency; Stock price adjustment; Ad hoc disclosure; G14; G18; K22;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law

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