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- W1984914360 abstract "This study investigates Australia’s unique continuous disclosure regime using intraday data on the Australian Securities Exchange (ASX) over the period January 2010–April 2012. We examine abnormal returns and trading volumes that accrue to shareholders immediately after an announcement responding to a trading induced query. The use of intraday data permits us to examine the direct impact of these events, and the length of time the market takes to incorporate this information with a higher degree of precision than the research currently on offer. The study is framed within an event study methodology, with a number of robustness measures: a matched sample approach; analysis of cross-sectional determinants; the removal of penny stocks; and, procedures to account for sample selection bias. We find significant share price reversals following a query announcement, with a reversal of 3.3% by the end of the widest event interval. Our study also provides evidence that the market takes up to 60 min to impound this information. Overall, we provide support for the efficacy of the query framework administered by the ASX." @default.
- W1984914360 created "2016-06-24" @default.
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- W1984914360 date "2013-12-01" @default.
- W1984914360 modified "2023-10-18" @default.
- W1984914360 title "The intraday impact of company responses to exchange queries" @default.
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- W1984914360 doi "https://doi.org/10.1016/j.jbankfin.2013.08.011" @default.
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