Share Price Reactions to Setting the Record Straight Press Releases: Evidence from the Johannesburg Stock Exchange(Pages 1189-1194)
University of South Africa, 1 Preller Street, Muckleneuk, Pretoria, 0003, South Africa.
Past studies have considered the effect of a variety of different types of press releases on share returns. None could be identified that studied press releases that set the record straight regarding a corporate event, thereby disseminating information seemingly new to investors. How the market digests such information should be reflected in share prices and significant abnormal returns would indicate that such press releases do indeed influence share prices. A content analysis of press releases was performed to identify press releases. Using a market model based on the capital asset pricing model, the cumulative abnormal return was then calculated. The study was carried out on the Johannesburg Stock Exchange’s largest 40 companies. Previous studies have considered the exchange to be weak form efficient. The results of the paper indicate that setting the record straight press releases do not influence share prices. An implication of this is that the Johannesburg Stock Exchange, under certain conditions, shows more efficiency than would be expected from a weak- form efficient market. The paper contributed to the literature by finding that setting the record straight press releases seemingly do not convey new information to investors in general while also contributing to the literature on market efficiency.
Capital asset pricing model (CAPM), event study, efficient market hypothesis (EMH).
How to Cite:
Philip Kotze. Share Price Reactions to Setting the Record Straight Press Releases: Evidence from the Johannesburg Stock Exchange. [ref]: vol.21.2023. available at: https://refpress.org/ref-vol21-a131/
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