TY  - JOUR
T1  - How the Equity Market Responds to Unanticipated Events
JF  - Journal of Business
Y1  - 2003
A1  - Brooks,Raymond
A1  - Patel,Ajay
A1  - Su,Tie
KW  - Finance
AB  - We examine the market reaction of prices, volume, spreads, and trading location when firms experience events that are totally unanticipated by the equity market in terms of both timing and content. We find that the response time is longer than previous studies have reported. Selling pressure, wider spreads, and higher volume remain significant for over an hour. We also find an immediate price reaction for overnight events; however, the market takes longer to react to events that occur when it is open. These findings may shed light on the efficacy of trading halts.
VL  - 76
CP  - 1
U2  - a
U4  - 644722688
ID  - 644722688
ER  - 

TY  - JOUR
T1  - Information Conveyed by Seasoned Security Offerings: Evidence from Components of the Bid-Ask Spread
JF  - Review of Financial Economics
Y1  - 2000
A1  - Brooks,Raymond
A1  - Patel,Ajay
KW  - Finance
AB  - We examine the relationship between the degree of informational asymmetry surrounding a firm and the equity market's reaction to a firm's announcement to sell seasoned securities. We use the adverse-selection component of the bid”ask spread as a proxy for the informational asymmetry of a firm. For equity offers, we find that the greater the change in information asymmetry at announcement, the greater the decline in wealth. In addition, the largest decline in wealth for seasoned equity announcements is observed for firms with the largest level of pre-event adverse-selection components. For debt offers, the wealth decline is only significant for firms with the largest pre-event levels of asymmetric information.
VL  - 9
CP  - 2
U2  - a
U4  - 644728832
ID  - 644728832
ER  -