The timing of the release of price sensitive information by South African companies .
Date
2014-07-24
Authors
Pitea, Ilaria
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
ABSTRACT
Over the last decades, several papers have investigated the determinants of
managers’ disclosure policies as corporate communication, especially financial
data, plays a key role in the efficient functioning of capital markets. In fact, by
releasing certain information to the market, managers convey information about
the future prospects of the company. Prior studies conducted in international
markets have documented the existence of patterns of information disclosure by
listed firms and have shown that the timing of a release is among the variables
that managers can try to strategically manipulate.
This study examines whether patterns also can be identified in the South
African market, testing the hypotheses that the timing, intended as intra-day and
intra-week, of announcements released by South African firms listed on the
Johannesburg Stock Exchange through the SENS is related to the quality of the
news (positive, negative or neutral), the size of the company (Small Cap, Mid
Cap, Top40) and the interaction of these two variables.
A quantitative methodology was used based on multi-way frequency tables to
describe the relationship among the variables. Log linear regression was used
to investigate this relationship and CaRT analysis graphically illustrates the
results of the research conducted on 774 announcements published on the
SENS over the one-year period from June 2011 to May 2012 by companies
listed on the Main Board of the JSE.
It was found that, on average, South African managers do not appear to
strategically time their announcements in light of the quality of the news. It was
also found that the size of the company influences disclosure policies, while the
combination of quality and size does not play a role. Although Small companies
Mid Cap and Top40 mainly release announcements during trading hours,
different patterns can be identified for their releases when the market is closed,
with Top40 companies showing a clear preference for early morning releases.
These findings can be interpreted in light of the existing regulation and the
dynamics of communication within the South African market.
Description
MBA Thesis 2013
Keywords
Johannesburg Stock Exchange, Capital market, Stocks -- Prices