Another interest domain for the application of event study methodology concerns the stock market behavior to various types of corporate press releases in terms of financial news, applied strategy, awards, counterparts, available products and services, management modifications, mergers and acquisitions or legal developments. For example, the research of Neuhierl et al. (2011) indicated that all these factors lead to rapid changes in company valuations and information environment.
Compared to the extensive body of literature on event-induced abnormal returns, the papers investigating event-driven drifts in volatility and liquidity are very scarce.
Currently, even-study methodology extends its traditional borders and includes all kinds of corporate news (rather than focusing on a single event in a certain time sequence) in order to underline their impact on the market in a systematic manner. Furthermore, in addition to stock price movements, it investigates the volatility trends, bid-ask spreads and trading volume following different types of announcement, which has been barely mentioned in scholars’ past papers.
The subject has been broadly analyzed in the prior works of, inter alia, Chan (2003), Antweiler and Frank (2004), Das and Chen (2007), Tetlock (2007), Engelberg (2008), Tetlock (2011).
References and further studies
Antweiler, W. and Murray, F. 2004. 'Information content of internet stock message boards'. Journal of Finance (59): 1259-1294.
Antweiler, W. and Frank, M. 2005. 'Do US stock markets typically overreact to corporate news stories'.
Chan, W. S. 2003. 'Stock price reaction to news and no-news: Drift and refersal after headlines'. Journal of Financial Economics 70: 223-260.
Das, S. R. and Chen, M. 2007. 'Yahoo for Amazon! Sentiment extraction from small talk on the web'. Management Science: 1375-1388.
Dougal, C., Engelberg, J., Garcia, D. and Parsons, C. 2011. 'Journalists and the stock market'. Review of Financial Studies.
Engelberg, J. 2008. 'Costly information processing: Evidence from earnings announcements'. http://dx.doi.org/10.2139/ssrn.1107998.
Neuhierl, A., Scherbina, A. and Schlusche, B. 2011. 'Market reaction to corporate press releases'. Available at SSRN: http://ssrn.com/abstract=1556532.
Tetlock, P. C. 2007. 'Giving content to investor sentiment: The role of media in the stock market'. Journal of Finance, 62(3): 1139-1168.
Tetlock, P. C. 2010. 'Does public financial news resolve asymmetric information?'. Review of Financial Studies, 23: 3520-3557.
Tetlock, P. C. 2011. 'All the news that's fit to reprint: Do investors react to stale information?'. Review of Financial Studies, 24: 1481-1512.