The Impact of Information Release on Stock Price Volatility and Trading Volume: The Rights Offering Case

The Impact of Information Release on Stock Price Volatility and Trading Volume: The Rights... This paper examines whether information released via rights offering announcements induces changes in price volatility and trading volume of underlying stock. The results of this paper provide support for the release of new information via offering announcements and evidence of its effects on price volatility and volume of underlying stock. Specifically, utilization of the announced information by investors is evidenced by greater trading volume following the announcement date than during the pre-announcement period. We interpret this result to mean that informedness dominates consensus. However, stock price volatility decreased from the pre-announcement period to the post-expiration period of rights offerings. Review of Quantitative Finance and Accounting Springer Journals

The Impact of Information Release on Stock Price Volatility and Trading Volume: The Rights Offering Case

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Kluwer Academic Publishers
Copyright © 1999 by Kluwer Academic Publishers
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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  • Trading Mechanisms and Stock Returns: An Empirical Investigation
    Amihud, Y.; Mendelson, H.
  • Why Underwriters Underwrite Rights Offerings? Some New Evidence
    Bohren, O.; Michalsen, D.; Eckbo, B.E.
  • Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
    Foster, D.; Viswanathan, S.
  • On the Rightholders' Subscription to the Underwritten Rights Offering
    Hansen, R.S.; Pinkerton, J.M.; Ma, T.
  • A Theory of Trading Volume
    Karpoff, J. `.

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