TitleHow the Equity Market Responds to Unanticipated Events
Publication TypeJournal Articles
Year of Publication2003
AuthorsBrooks, R, Patel, A, Su, T
JournalJournal of Business
Volume76
Issue1
Pagination109-133
Date Published2003
KeywordsFinance, MBA
Abstract

We examine the market reaction of prices, volume, spreads, and trading location when firms experience events that are totally unanticipated by the equity market in terms of both timing and content. We find that the response time is longer than previous studies have reported. Selling pressure, wider spreads, and higher volume remain significant for over an hour. We also find an immediate price reaction for overnight events; however, the market takes longer to react to events that occur when it is open. These findings may shed light on the efficacy of trading halts.

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