A NOTE ON FIRM SIZE, INFORMATION AVAILABILITY AND MARKET REACTIONS TO US STOCK OWNERSHIP REPORTING ANNOUNCEMENTS
研究5%持股报告公告的市场反应，发现小公司公告日的市场反应比大公司大310%，说明公司规模影响信息可得性和市场反应。
This note examines cross‐sectional differences in market reaction to five percent stock ownership reporting announcements. The results presented here document an inverse relationship between firm size and market reaction. Specifically, the announcement day market reaction is 310 percent larger for a portfolio of small firms compared to a portfolio of large firms.