In our paper, Market Reaction to Corporate Press Releases, we provide a comprehensive investigation of how financial markets process various types of corporate news. The study argues that the importance of firm-level announcements should be assessed not only by investigating immediate stock price reactions but also by assessing their effect on firms’ informational environment.

This study became possible because of two important financial regulations that made corporate press releases a prevalent method of communicating new firm-level news to investors, Regulation Fair Disclosure, adopted in 2000 and the Sarbanes-Oxley Act implemented in 2002. These regulations mandate that publicly traded firm must disclose all private information that may have an impact on their market values and report changes in their “financial conditions and operations” in a timely fashion and simultaneously to all market participants. Firms routinely employ press releases as a way of achieving these objectives.

The dataset of corporate press releases was collected from a variety of newswire services, such as PR Newswire, BusinessWire, GlobeNewswire, and the like. The resulting dataset contains nearly all corporate press releases issued during the time period under investigation. Press releases are then classified into 60 news categories, formed with an objective of achieving a relative homogeneity in the news content within each category. While many types of financial announcements have been investigated in prior literature, a large number of other news categories have not due to the difficulty of collecting data.

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