Market Reaction to Corporate Releases and News Articles: Evidence from Thailand’s Stock Market

Abstract

Studies that quantify the price impact of the information in corporate press releases and news articles mainly focus on quantitative news, such as earnings announcements, dividends, and financial performance-related events, but leave out other corporate news events. Those that do so generally focus on one source of information and do not compare the price impacts from different information sources. Our study aimed to extend previous studies by quantifying and comparing market reactions to corporate press releases and news articles across different news categories. We classified and categorized 100,960 news items, encompassing 26,546 corporate press releases and 74,414 news articles, of 615 firms in the Stock Exchange of Thailand between 1 January 2017 and 31 December 2019. These news items were classified into categories based on the information contained in corporate press releases and news articles. We then studied the market reactions to these news categories. We found that the price impact from corporate releases is sustained for both positive and negative news categories. Our results also show that the positive price impact for news reported by the media tends to reverse, consistent with prior studies. In contrast, the negative price impact from news articles holds; this result differs from previous studies. Our data also show that managers tend to leak and recycle good news while the release of bad news is delayed.

Keywords

• agency theory
• corporate press releases
• news articles
• disclosure
• market reactions
• price impact