The informational content of Annual General Meetings; the case of Spanish small capitalization companies

The Annual General Meeting (AGM) constitutes one of the main instruments that companies have to release information to stockholders and financial markets. Previous literature analysing AGM informational content is basically based on two Anglo-Saxon countries: the U.K. and the U.S., even more, research taking into account the possible firm’s size effect on the information released during the AGM is scarce. Due to the importance of countries legal origin in corporate governance, no identical results for companies in different legal tradition environments should be expected. Moreover, the value of the information released for the most followed companies should not be expected to be the same as for smaller companies. In this paper, stock returns, returns volatility, and trading volume around the AGM dates for small capitalization companies that belong to a non-Anglo-Saxon country stock market index, the Spanish IBEX Small Caps index, are investigated. The main purpose consists in evaluating the informational content released for small companies in a civil-law country. We propose the classical approach to event study methodology to test for abnormal behaviour around AGM days. The results will allow discussing about the relevance of the information released during the shareholders meeting. Additionally, the possible differences in the total risk that could cause abnormal returns depending on the stock market cycle have been analyzed.