This study examines the reactions of the Spanish capital market and financial analysts to CEO presentations organized by the Spanish Society of Financial Analysts. The sample contains 137 presentations that took place during the period 1994-2000. To estimate the effect of these meetings on stock prices we use two different specifications of the market model: ordinary least squares (OLS) and GARCH (1,1), combined with several test statistics. The results show significantly positive abnormal returns on the presentation date and on the day following it. The GARCH(1,1) estimation of the market model seems to be the best specification for detecting price response to presentations. The stock price movement is associated with exceptionally high trading volumes on the presentation date and the day after, without any parallel increase in the daily average size of trades. Financial analysts revise their earnings per share forecasts upward beginning before the presentation date and ending three months later. We find evidence that suggests that the market’s reaction is associated with investors’ divergence of opinion but not with either undervaluation or the previous information level proxied by size.

Key words: Voluntary disclosure, security analysts, CEO presentations.
JEL classification: G14, M41.