Mark C. Dawkins (Terry College of Business, University of Georgia) Linda Smith Bamber (Terry College of Business, University of Georgia)
Abstract
Drawing on a comprehensive sample of 330 bankruptcy petition filings from 1980 to 1993, we find that most of the market reaction does not occur on the bankruptcy petition filing date when the information becomes publicly available. Rather, most of the reaction occurs when news of the bankruptcy filing is more widely disseminated via the Broadtape. This "Broadtape announcement effect" persists after controlling for firm size, exchange listing, and predisclosure information. These are primarily timing differences since abnormal returns cumulated over an 11-day window centered on the filing date do not differ significantly across Broadtape disclosure date classifications. Copyright The American Finance Association 1998.
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Volume (Year): 53 (1998) Issue (Month): 3 (06) Pages: 1149-1163 Download reference. The following formats are available: HTML
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