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Financial Markets and Portfolio Management

, Volume 29, Issue 3, pp 173–206 | Cite as

Market efficiency under ad hoc information: evidence from Germany

  • Matthias BankEmail author
  • Ralf H. Baumann
Article

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.

Keywords

Market efficiency Stock price adjustment Ad hoc disclosure 

JEL Classification

G14 G18 K22 

Notes

Acknowledgments

We thank the anonymous referee for his/her thorough review, which significantly contributed to improving the paper. We are further indebted to a seminar at the University of Fribourg, a seminar at the University of Innsbruck, the Austrian Working Group on Banking and Finance, the Multinational Finance Conference 2013, and the 17\({\mathrm{th}}\) Conference of the Swiss Society for Financial Market Research. In addition, we thank Janette Walde, Jochen Lawrenz and Markus Schmidt for helpful suggestions. Financial support through a grant provided by the University of Innsbruck is also very gratefully acknowledged. The study received additional technical support from Focal Point Scientific Computing at the University of Innsbruck.

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Copyright information

© Swiss Society for Financial Market Research 2015

Authors and Affiliations

  1. 1.Department of Banking and FinanceUniversität InnsbruckInnsbruckAustria
  2. 2.UBS Investment BankOpfikonSwitzerland

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