2011 Fiscal Year Final Research Report
Post earnings announcement drift after management forecasts
| Project/Area Number |
21530485
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Accounting
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| Research Institution | Osaka University of Economics |
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Principal Investigator |
KATO Kazuo 大阪経済大学, 経営情報学部, 准教授 (90319567)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 業績予想 / 市場メカニズム / パニック行動 / 特別気配値 / ストップ値 |
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| Research Abstract |
14 : 46 on March 11, 2011, Tohoku earthquake hit northeast coast of Japan and caused enormous damage on the economy. Closely focusing on the post-earthquake days, we evaluates the efficacy of circuit breakers on a turbulent market through exploration of a unique trading mechanism combined with price limit and trading halt rule. Even in the stormy market, we find little evidence to support effectiveness of trading halt : halted stocks are suffered from inefficient price discovery process and higher volatility over post-shock days. The results suggest in the midst of panic, trading in open market is the solution to resolve uncertainty.
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