There’s No Smoke without Fire: Equity Returns Response to Indictment Filing

Zvika Afik, Yaron Lahav, Zoya Ochakovski

Research output: Contribution to journalArticlepeer-review

Abstract

Markets react to new information and it is widely expected that the publication of negative news regarding a firm would negatively affect the returns on its equity. This work employs event study mythology on indictment filings in Israel during the period January 2011 to March 2014. We find that such events cause statistically significant negative abnormal returns during a twenty-day period after the event date. Interestingly, we also find that market reaction starts about a week after the event and that it appears to vary with the economic significance of the indictment. This is remarkable as prior research does not find significant reaction in relatively small markets to other corporate and rating agency announcements.
Original languageAmerican English
Pages (from-to)24-30
Number of pages7
JournalInternational Journal of Economics and Finance
Volume6
Issue number7
DOIs
StatePublished - 24 Jun 2014

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