STOCK PRICE AND TRADING VOLUME RESPONSE TO FIRM-SPECIFIC INFORMATION DISCLOSED TO THE PUBLIC WHOSE RELIABILITY IS SUBJECT TO THE CORRESPONDING FIRMS' VERIFICATION

Oral ERDOĞAN (İstanbul Bilgi University)
Arı YEZEGEL (Koç University)

This study investigates the average abnormal rate of return that accrues to firms with news/information releases whose reliability is subject to the corresponding firms' verification. The sample consists of firm-specific news/information releases of firms whose securities are listed on the Istanbul Stock Exchange during the time period January 1998 and May 2002. The initial sample consists of 1666 firm-specific news items whose reliability is subject to the corresponding firms' verification. The final sample is made up of 466 of those news items which are associated with "abnormal price and trading volume movements". The significance of the impact of this kind of news/information releases on security prices and trading volume are evaluated.