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Information Uncertainty and Intraday Market Responses to Corporate Disclosures: A Study of the Korean Stock Market

박두리|이병희
경영연구소 (Management Research Center)|2021.12|Seoul Journal of Business|제27권 제2호|pp. 37-72|DOI 10.35152/snusjb.2021.27.2.002

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참고문헌

키워드

intraday market responsescorporate disclosuresinformation uncertainty

초록

Using market microstructure data, this study analyzes intraday market responses to corporate disclosures subject to Regulation Fair Disclosure in Korea and examines whether the intraday market responses are affected by information uncertainty. We show that corporate news is incorporated into stock prices in an efficient and timely manner. We further document that positive stock returns and trading volume to good news disclosures are stronger for firms with higher information uncertainty. Overall, our evidence suggests that information uncertainty plays an important role in investors’ reactions to corporate disclosures.

Abstract

Using market microstructure data, this study analyzes intraday market responses to corporate disclosures subject to Regulation Fair Disclosure in Korea and examines whether the intraday market responses are affected by information uncertainty. We show that corporate news is incorporated into stock prices in an efficient and timely manner. We further document that positive stock returns and trading volume to good news disclosures are stronger for firms with higher information uncertainty. Overall, our evidence suggests that information uncertainty plays an important role in investors’ reactions to corporate disclosures.

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