Announcement Effect

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Announcement Effect

A change in security prices or volatility as a result of some announcement. For example, if the Federal Reserve raises interest rates, stock prices are liable to fall. Likewise, if a company announces an acquisition, its stock may rise. The announcement effect may cause drastic price changes; as a result, companies and governments often selectively leak or hint at announcements before they occur to minimize surprises. The announcement effect is also called the signal effect. See also: Price out the News.
References in periodicals archive ?
Furthermore, because little research examines the valuation of R&D reductions (Chan, Lin, and Wang, 2015), exploring the announcement effects of R&D changes expands the literature on the valuation of R&D spending.
Using a sample of private placements made on the Korean Securities Dealers Automated Quotations (KOSDAQ) from January 2000 to December 2010 and limiting it to only include first Secondary Equity Offerings (SEOs), this study examines the relationship between the announcement effects of equity private placements and lock-up and/or discount signals sent by distressed firms as well as healthy ones.
27) In any case, the announcement effects suggest that monetary policy was an important driver of financial market behavior in 2013.
This paper presents an examination of the relation of liquidity, transaction costs, and risk, and describes an investigation of macroeconomic indicator announcement effects on liquidity in the Japanese Government Bond (JGB) Futures market of the Tokyo Stock Exchange (TSE).
This result suggests that failure to control for expectations may lead to understating the efficacy of LSAPs, since announcement effects only capture a portion of the decline in the 10-year Treasury rate.
This announcement effects the end of the Company's trading halt.
Our work also relates to studies of announcement effects in the indexed markets, especially that of Beechey and Wright (2009), which also analyzes intraday data but is different in its focus on liquidity and the announcement adjustment process as opposed to price-level effects.
This includes formal statistical tests on the announcement effects of the various measures employed.
Prior to the formal study of announcement effects on volatility, researchers found that volatility is autocorrelated and displays intraday and intraweek patterns.
Since investors cannot (short-)sell specific pieces of a firm--or short-sell the CEO, for that matter--the stock market is unlikely to allow identifying a "market reaction" to managerial biases, with the exception of the rare occasion when we can study announcement effects (as in the case of mergers by overconfident CEOs discussed above).
Moreover, he makes no attempt to relate announcement effects to firm characteristics.