ARE STOCK-MARKET EVENT STUDIES AFFECTED BY THE PRICE RANGE OF SHARES - THE CANADIAN EXPERIENCE

This study uses event date methodology to examine whether low priced a nd high priced shares respond differently to market events. Our result s indicate that in response to takeover announcements, low priced shar es are more price volatile and unlike higher priced shares decline aft er the event date. Recognition of share prices should therefore be con sidered in event studies and in particular when comparing the results of different studies.