STOCK PRICE REACTIONS TO CORPORATE NEWS ANNOUNCEMENTS

This paper details the share price reaction to divi dend, earnings, and stock split announcements over a 37-year period. It first consi der whether there is differential information content in similar corpora te news announcements for different types of firms. Second, it investigates whether the value of news information about these firms has declined over tim e (addressing the question of whether news has become “less newsworthy”). We go on to study the relationship between stock price reactions to corpo rate news announcements and characteristics of the firms. Operating under th assumption that news announcements have an asymmetrical impact on stock pri e according to factors like firm size, years of being publicly tra ded, or industry classification, we categorize firms by whether their corporate news announcements will be more or less valuable to the public. For example, since the public may know more about larger firms, we expect the market to re act less strongly (in absolute value) to new information from large firms . We find strong support for this hypothesis. We find little evidence that is consistent with the idea that “news has become less newsworthy” over the past fou r decades. However, although we do find that the share price reaction t o “good” dividend news has become less positive and to “bad” dividend news has become less negative over time, no such related evidence exists for stoc k splits and earnings announcements. We also find an increase in standard deviation of three day returns around earnings and splits announcements ov er time, with noteworthy convergence amongst positive, negative and neutral earnings announcements. Additional investigation of entire distributions of returns using kernel density estimators also rejects the “news is no longer news worthy” idea. BIOGRAPHICAL SKETCH Kerry Motelson graduated in three years from Cornel l University with a Bachelors of Science in Industrial and Labor Rela tions in 2008 and in 2009 pursued a Masters of Science in Labor Economics and Human Resource Studies. Kerry is a Merrill Presidential Scholar ( ’08), Daniel Alpern Scholar (’08), John O’Donnell Award Recipient (’07) and Lin da Schwartz Scholar (’07). Kerry worked at Lehman Brothers in 2007 as an analy st both in High Grade Credit Sales and in Global Consumer Investmen t Ba king. In 2008, Kerry was an analyst at Goldman Sachs in New Produc ts Investment Banking, focusing on tax-advantaged divestiture strategies. Kerry currently works in the Institutional Securities Group, Margin and Structur ed Products at Morgan Stanley, focusing on Commodities. At Cornell, Kerry co-founded Scrimple.com, an onlin e advertising solution for local businesses. The company has rec ently launched a new platform, blueskylocal.com, centered around geograp hic lly differentiated marketing methods for firms nationwide, offering lo cal businesses assess to state-of-the art technology to respond in real-time to changing conditions (like weather) and garner constant communication through texts, emails and print letters, with their customers. Kerry now serves on the Board of Directors. Kerry enjoys horseback riding and teaching lessons in her spare time and is a three-time Northeast Junior Dressage Champ ion. She has managed three equestrian academies in Northern Westchester and in the greater Ithaca region. She is also an avid runner.