PURPOSE: This study examines two dimensions of informational efficiency among Dow Jones Industrial Average (DJIA) constituents: the leakage of price-relevant information before scheduled corporate disclosures and the speed at which prices absorb newly released information. Quarterly earnings announcements serve as the information event.
DESIGN/METHODOLOGY/APPROACH: Open, high, low, and closing prices for 26 DJIA constituents over 2010–2024 were obtained from Yahoo Finance, and announcement dates were identified from Form 8-K filings (Item 2.02) submitted to the U.S. Securities and Exchange Commission. Volatility, measured as the daily high–low range relative to the closing price, was examined over an eleven-day window around each announcement, yielding 1,568 events and 17,248 firm-day observations. Differences across event-window days were tested at the firm and pooled levels using one-way ANOVA and independent-samples t-tests, with effect sizes reported alongside p-values.
FINDINGS: Volatility differs across the event window (F = 158.39, p < 0.0001, η² = 0.084), a pattern significant for all 26 firms, and peaks on the announcement day at roughly 60% above the pre-announcement baseline (Cohen’s d = 0.95). The elevation persists into the following trading day (d = 0.46, significant for 15 of 26 firms) before normalizing by day +2. Volatility in the two days preceding the announcement shows no economically meaningful difference (d = 0.13, significant for one firm), providing no support for systematic pre-disclosure leakage.
RESEARCH IMPLICATIONS: The results support a qualified view of semi-strong-form efficiency: reactions are large and essentially leakage-free, but full price discovery takes slightly more than one trading session for most firms. They also show why effect sizes, not p-values alone, are needed to interpret large financial panels.
ORIGINALITY/VALUE: The study jointly maps pre-disclosure leakage and post-disclosure adjustment speed using a single recurring event across a fifteen-year panel of DJIA constituents and explicitly separates statistical from economic significance.