Does the medium matter? The relations among bankruptcy petition filings, Broadtape disclosure, and the timing of price reactions

Article Abstract:

Drawing on a comprehensive sample of 330 bankruptcy petition filings from 1980 to 1993, we find that most of the market reaction does not occur on the bankruptcy petition filing date when the information becomes publicly available. Rather, most of the reaction occurs when news of the bankruptcy filing is more widely disseminated via the Broadtape. This "Broadtape announcement effect" persists after controlling for firm size, exchange listing, and predisclosure information. These are primarily timing differences since abnormal returns cumulated over an 11-day window centered on the filing date do not differ significantly across Broadtape disclosure date classifications. (Reprinted by permission of the publisher.)

Prices and rates, Stocks, Telecommunications systems, Stock prices, Bankruptcy

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Winner-loser reversals in national stock market indices: can they be explained?

Article Abstract:

This article examines possible explanations for "winner-loser reversals" in the national stock market indices of 16 countries. There are no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world. While there is evidence that small markets are subject to larger reversals than large markets, perhaps due to some form of market imperfection, the reversals are not only a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved. (Reprinted by permission of the publisher.)

Stock price indexes

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