Examination of information release on return volatility: A market and sectoral analysis.

This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility. Analyst price targets (PTR) and Morningstar stock star ratings (MSR) were used as private information proxies while Australian Securities Exchange (ASX) announcements were used as the public information proxy.