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This chapter examines the impacts of scheduled announcements of 14 widely followed macroeconomic news on the corporate bond market from July 2002 to June 2017 and documents several new findings. First, good (bad) macroeconomic news tends to have a negative (positive) effect on IG bond returns and a positive (negative) effect on high-yield (HY) bond returns. Second, nonfarm payroll (NFP) appears to be the “King of announcements” for the corporate bond market. Third, while information about revisions of prior releases is incorporated into bond prices on announcement days, future revisions fail to be priced in. Fourth, the news information is thoroughly and quickly reflected in bond prices on the announcement day. Finally, corporate bond volatility increases on announcement days, whereas the Zero Lower Bound (ZLB) policy has little effect on conditional volatility.

This analysis is the first to explore the overall roles of the offsetting attraction and distraction influences of earnings news in shaping the level of attention given to the equity market by market participants.

We use multivariate regression approach and examine how trading activity levels within the set of non-announcing firms varies with respect to collective measures of contemporaneous earnings announcement visibility. We employ attention and information transfer theories in our hypothesis development.

This analysis is the first to explore the overall roles of the offsetting attraction and distraction influences of earnings news in shaping the level of attention given to the equity market by market participants. Specifically, we examine how the number of earnings announcement activity affects investor attention as measured by trading volume given to the set of non-announcing firms. We find that while earnings announcement numbers lower trading volume responses to earnings news among announcing firms (consistent with Hirshleifer et al., 2009), their distractive influence does not carry over into the market as a whole. More importantly, investor attention to both the overall market and the larger subset of non-announcing firms increase in response to earnings news activity levels. However, after decomposing the announcers as same-industry and different-industry announcers, we find that investor attention to the non-announcing segment of the market increases with the number of same-industry announcers, but actually seems to decrease (i.e. they distract attention) with the number of different-industry announcers. We also find that the associated earnings surprise brings attention to non-announcing firms (consistent with earnings news is relevant to overall market price movements). Finally, we find that distraction effects are attenuated in the financial crisis period.

A promising area of future research is to examine the relation between market pricing efficiency and aggregate earnings activity for the set of non-announcing firms. Although it will be a challenging task to measure pricing efficiency for the non-announcers, this will complement the prior literature only focusing on the announcing segment of the market.

First, instead of assessing the impact of number of earnings announcements on the subset of announcing firms, which is a micro-level perspective, we identify the impact of news arrivals on all firms in the market including the vastly larger set of non-announcing firms. Second, by decomposing the number of announcements into industry-related and -unrelated news we show that different types of news arrivals spark investor attention differently, suggesting the importance of categorizing the news into related and unrelated industries.

A potential future area of research identified by our analysis is to investigate what type of investors' attention is distracted or attracted during the earnings announcements. A promising area of future research is to examine the relation between market pricing efficiency and aggregate earnings activity for the set of non-announcing firms.

This paper is the first one exploring the overall roles of the offsetting attraction and distraction influences of earnings announcements in shaping the level of investor attention given to the equity market by market participants. Our findings should be of interest to investors, analysts, security market regulators and researchers.

The purpose of this paper is to investigate the impact of the introduction of New Zealand's statutory‐backed continuous disclosure regime enacted in December 2002 on the differential disclosure behaviour of New Zealand firms with good and bad earnings news.

This paper examines the level of information disclosure, analyst forecast error and forecast dispersion, abnormal returns and abnormal volumes for firms with good and bad news earnings announcements in a sample period surrounding reforms to New Zealand's continuous disclosure regime.

The authors find evidence that the pre‐announcement information flow was poorer prior to the reform for bad news firms compared to good news firms, in terms of greater analysts' forecast dispersion and a larger abnormal price reaction to the actual earnings announcement. Second, the reform reduced the asymmetry of information flow between good and bad news firms, with the differences in analysts' forecast dispersion and abnormal price reaction dissipating after the reform.

The findings suggest that the reforms to New Zealand's continuous disclosure regime have reduced managers' propensity to withhold bad news and improved the quality of information provided to investors by firms with bad earnings news.

This study improves our understanding of the impact of disclosure reform on the behaviour of managers in a market with relatively low liquidity and less litigation risk in comparison to larger and more developed markets.

The main purpose of this research study is to investigate the impact of quarterly earnings announcements on stock price movement of the firms constituting the SENSEX under two different market conditions – booming followed by recessionary. Analysis of price effect of quarterly earnings announcements during the five-year period prior to trading suspension, which is also characterized by a booming market condition have been made. Similar analysis during the five-year period following the trading suspension and marked by recessionary market condition has also been carried out side by side.

Event study methodology using daily returns and market model has been used for the purpose of analyzing the quarterly earnings announcement effects on the security prices of the firms. A sign test has also been used along with the event study.

The study reveals that quarterly earnings announcement does not have statistically significant effect on stock returns during the booming as well as the recessionary market conditions. The impact of quarterly earnings announcements on stock price movement of firms constituting the SENSEX has been similar for both periods undertaken in the study.

The study has been undertaken using the firms listed in BSE SENSEX. The effect of the quarterly earnings announcement with reference to firms listed in other indices, if covered, may provide different sets of results.

The paper identifies the informational value of quarterly earnings announcement of BSE-SENSEX.

The purpose of this paper is to determine to what extent economically significant stock return and volume changes on Tallinn, Riga and Vilnius Stock Exchanges (TSE, RSE, VSE) are contributable to public announcements disclosures and which types of announcements drive these.

Event‐study methodology was used to determine economically significant return and volume events.

It was found that 22‐37 per cent of return or volume events explained by public announcements was twice lower than reported in the UK. The greatest frequency of disclosures was attributable to financial disclosures as could be expected. Although, previous research indicates bigger magnitude of reaction to financial news, it was not observed in case of public announcements. Whereas, the magnitude of reactions on VSE was greater than reported on TSE and RSE, which indicates that VSE differs from TSE and RSE in its information processing.

Firstly, all other mediums of disclosure besides public announcements are excluded. Secondly, the focus on public announcements discards all other factors that could induce market reactions. Thirdly, investors are assumed to act rationally.

The relative importance of different news items in inducing market reactions on the three Baltic stock exchanges has not been previously investigated. Only one previous study has covered a developed capital market of the UK, which means that this paper enables to compare its results to the ones achieved in a developing capital market setting.

The aim of this paper is to study both the information content of accounting figures and the speed at which the new information is incorporated into stock prices.

The sample is composed of 117 overnight announcements published by Reuters during the period 2001‐2003. For every date, the event is classified into one of three categories: good news, bad news or no news. The paper uses intraday event study methodology to examine market reaction just before and just after the event.

The intraday analysis reveals several results. Firstly, investors react positively to good news and negatively to bad news. Secondly, abnormal returns dissipate within 15 min. Thirdly, prices converge to equilibrium more quickly for good news than for bad news. Fourthly, we present evidence of price reversal 30 min following bad news announcements. Finally, earnings releases are accompanied by a rise in volume which remains even after the equilibrium price is attained.

Price discovery is analyzed only in the stock market. It is pertinent to verify if the option market and foreign markets can contribute to the incorporation of new information into stock prices.

This work can help investors to determine their trading strategies around earnings announcements. The paper shows that it is not possible to realize trading profits after 15 min following the time of the announcement.

The study contributes to both financial accounting and microstructure literature. First, it focuses on the information content of accounting figures using very short horizon (intraday analysis). Second, the paper sheds light on the role of the Euronext preopening period in the incorporation of the overnight information flow.

This study aims to examine whether insider purchases made within 30 days prior to the publication of various kinds of press releases earn higher abnormal returns (AR) than those in the absence of such announcements. It also attempts to identify the factors that explain ARs.

This study considers data for Canadian insider purchases made on the Toronto Stock Exchange 60 Index. An event study methodology is used to calculate AR, and a mixed regression model is used to evaluate the effect of corporate news on AR.

The empirical results indicate that insiders achieve greater ARs when they purchase stock prior to press releases; findings also show that these returns are specifically related to purchases made before the announcements of mergers and acquisitions, ongoing projects, financial structure, financial results and asset disposals. This is because of the firm effect.

These findings have important implications for Canadian market regulatory authorities, especially the Ontario Securities Commission and other market participants who are interested in corporate governance, such as boards of directors and shareholders.

The present findings show that regulatory bodies must work with companies to raise awareness of improper insider trading.

The purpose of this paper is to understand that option pricing is the response of option implied volatility (IV) to macroeconomic announcements.

The authors use high-frequency data on ASX SPI 200 index options to examine the response of option IV, as well as higher moments of the underlying return distribution, to macroeconomic announcements. Additionally, the authors identify the response of the moments as a function of moneyness of the options.

The findings suggest that in-the-money and out-of-the money options have difference characteristics in their responses, leading to the conclusion that heterogeneity in investor beliefs and preferences affect option IV through the state price density (SPD) function.

The research contributes to the literature that examines whether IV captures the beliefs of market participants about the likelihood of future states together with the preferences of market participants towards these states. In particular, the authors relate changes in option IV to changes in macroeconomic announcements, through the impact of these announcements on the moments of the SPD function.

This study examines the response of Australian interest rate swap spreads to the arrival of macroeconomic news information during the economic expansion and contraction periods. We find that the impact of news announcements on swap spread change differs and largely depends on the state of the economy. The unexpected inflation rate is the only news released that has significant impact on swap spreads across all maturities during contractions and remains the important news announcement throughout the business cycles, while the unanticipated unemployment rate tends to be more relevant to 10-year swap and the unanticipated change in money supply tends to be more relevant to 4- and 7-year swaps during expansions. We also find shocks from these news surprises appear to have significant impact on the conditional volatility of the swap spread change during both economic phases. The macroeconomic shocks in general are negatively related to the conditional volatility of the swap spread change, suggesting that the newsworthy announcements tend to reduce uncertainty on the news announcement days in the swap market during expansion and contraction periods.

The paper aims to examine the link between firm‐level large share price movements, firm‐specific company announcements and corporate governance. Stock market regulation in the UK requires firms to disclose new price‐sensitive information immediately via official news providers. The paper investigates whether large share price movements are accompanied by firm disclosure. It also investigates whether corporate governance attributes influence the degree of disclosure by firms.

The disclosure measure is constructed by identifying the largest abnormal daily stock returns for sample firms, and then firm‐specific announcements in the three‐day window centred on the abnormal return day are searched. Corporate governance variables known to influence disclosure practice are then collected and tested to ascertain whether they influence disclosure for positive and negative (good and bad announcements) abnormal returns.

Large share price movements are accompanied by an official share price movement in 45.2 per cent of cases. This rises to 62.9 per cent when new analyst or newspaper articles are included as potential drivers of the abnormal share price return. The higher the proportion of non‐executive directors and CEO/chair duality lead to a higher incidence of bad news disclosure, suggesting increased scrutiny works. The higher the level of CEO and board ownership the lower the level of disclosure. Finally, institutional ownership concentration appears to negatively influence the level of disclosure.

Higher levels of corporate governance are shown to lead to better firm disclosure. At the same time, the authors find that in almost 40 per cent of large abnormal share price returns no information has come to the market to drive the share price. Thus, the paper has important messages for regulators, who need to investigate why prices often move a long way without accompanying news. Shareholders, particularly institutions, should ensure high levels of disclosure by company directors.