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  -