Stock Prices and Resignation of Members of the Board: The Case of the Warsaw Stock Exchange
AbstractIn this paper we provide an empirical analysis of announcements of resignation of board members using data which comes from the Warsaw Stock Exchange. The market reaction to this information is tested at different time horizons by means of event study methodology. The results show that market reaction is rather positive immediately before the announcement release and negative over the following six-day-period starting on the event day. A possible explanation for this phenomenon is suggested. Besides the traditional examination of abnormal return behaviour, we also check whether or not resignation announcements induce increases in the variance of stock returns over the period under consideration. It turns out that a tendency towards increased stock return volatility can be observed in the whole period prior to the announcement release.
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Bibliographic InfoArticle provided by University of Primorska, Faculty of Management Koper in its journal Managing Global Transitions.
Volume (Year): 5 (2007)
Issue (Month): 2 ()
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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