Download or read book Differential Information and Security Returns Surrounding Earnings Announcements on the Over the counter Market written by Donna J. Shores and published by . This book was released on 1986 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Factors Associated with Differences in the Magnitude of Abnormal Returns Around NYSE Versus NASDAQ Firms Earnings Announcements written by Youngsoon Susan Cheon and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides an explanation for the quot;exchange effectquot; puzzle documented in prior accounting research. Grant (1980) finds that the magnitude of earnings announcement week abnormal returns is higher, on average, for firms traded over-the-counter than for NYSE firms. Atiase (1987) shows that this incremental quot;exchange effectquot; persists even after controlling for firm size. We investigate potential explanations for this incremental exchange effect. We first show that even after controlling for differences in firm size, Nasdaq firms have less rich information environments and enjoy greater growth opportunities than NYSE firms. We then investigate whether differential predisclosure information environments and/or growth opportunities can explain the incremental exchange effect. The results indicate that although the absolute magnitude of the earnings announcement-related abnormal returns is inversely related to proxies for the amount of predisclosure information, the incremental exchange effect cannot be explained by differences in the predisclosure information environment. In contrast, after controlling for differences in growth opportunities across NYSE versus Nasdaq firms, and investors' heightened sensitivity to Nasdaq firms' growth opportunities in particular, there is no significant incremental exchange effect (whether or not we control for predisclosure information). These results suggest that the incremental exchange effect puzzle documented in prior research is more likely to reflect growth-related phenomena than differences in the predisclosure information environment.
Download or read book Market Reaction to Patterns of Earnings written by Anna Agapova and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research shows that easily discernable patterns in earnings -- strings of earnings increases (decreases) and breaks in such strings -- affect investors' long-term valuation of stocks. We examine short-term market reaction before, during, and after earnings announcements to formally test how investors process news of continuation or the end of strings relatively to non-patterned firms. Our results confirm differential reaction measured with cumulative abnormal returns (CARs) between patterned and non-patterned firms. However, we observe the strongest market response to announcements of breaks, than to strings or non-patterned firms. Post-announcement drift (PEAD) and pre-announcement “leakage” is mostly attributable to break firms as well. Our results hold after controlling for information released in earnings announcements and characteristics of firms, patterns and information environment. Breaks in earnings strings might be one of the driving forces behind previously documented market anomalies surrounding earnings announcements, as investors need to re-valuate the stocks when earnings patterns end.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Download or read book Trading Volume Reactions to Earnings Announcements and Future Firm Performance written by Doron Israeli and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate whether firms with higher abnormal trading volume (ATV) around earnings announcements (EAs) outperform those with lower ATV over the short and long terms following the EA. In addition, I address whether any positive relation between ATV around EAs and future firm performance is weaker for firms with a higher proportion of shares held by sophisticated investors. Consistent with theories that attribute ATV around public announcements primarily to differing investor interpretations of the news and that link differential interpretation to future returns, I find that, for several years after an EA, firms in the highest decile of ATV significantly outperform those in the lowest decile. Further, I find that ATV and earnings surprises explain future returns incremental to the three Fama and French (1993) and momentum risk-factors. Next, consistent with the proportion of ATV driven by lack of consensus regarding the price being lower when the presence of rational investors is higher, I document that the level of investor sophistication-a proxy for investor rationality-attenuates the positive relation between ATV and future returns. Taken together, my study lends support to and links two streams of theories from financial economics, and demonstrates that trading volume reactions to EAs provide information about future returns and firm financial performance that cannot be deduced from the price reactions or the magnitudes of earnings surprises. My study also documents that the positive relation between ATV and future firm performance is sensitive to the level of security holdings of sophisticated investors.
Download or read book Differential Information Content of Earnings Announcements written by Charles Edward Wasley and published by . This book was released on 1987 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Securities Markets Respond to Earnings Paths A Case for Low Balling written by John C. Alexander and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Earnings paths are proxied by analyst forecasts leading up to the earnings announcement. We find that after controlling for information content, as revealed by the earnings announcement, security returns measured over the entire quarter are affected by the path of expected earnings. We uncover cases of perverse market response in which security returns are significantly non-zero when the earnings announcement contains no information. We also observe cases in which positive information elicits negative or no market response, and negative information elicits a positive market response. These results suggest management may have an incentive to low-ball interim earnings expectations. Finally, we find that the bulk of the anomalous returns remain after attempts to relate them with alternate explanations such as shifts in risk, spillover effects, and the possibility of market overreaction.
Download or read book How Much New Information is There in Earnings written by Ray Ball and published by . This book was released on 2009 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We quantify the relative importance of earnings announcements in providing new information to the share market, using the r-squared in a regression of securities' calendar year returns on their four quarterly earnings announcement window returns. The r-squared, which averages approximately five to nine percent, measures the proportion of total information incorporated in share prices over a year that is associated with earnings announcements. We conclude that the average quarterly announcement is associated with approximately one to two percent of total annual information and one quarter of one percent of annual trading volume, thus providing only a modest amount of incremental information to the market. The results are consistent with the view that the primary economic role of reported accounting earnings is not to provide timely new information to the share market, and by inference lies elsewhere, for example in settling contracts (Watts and Zimmerman, 1986) and in disciplining prior expectational information (Gigler and Hemmer, 1998; Ball, 2001). We also report increased information during earnings announcement windows in recent years, particularly in larger firms, due in part to increased concurrent releases of management forecasts. There is a convex relation between relative informativeness during earnings event windows and firm size. There is no evidence of abnormal information arrival in the weeks surrounding earnings announcements. Substantial information is released in analyst forecast revisions prior to earnings announcements, but not after.
Download or read book Delayed Security Price Adjustments to Financial Analysts Forecasts of Annual Earnings written by Pieter T. Elgers and published by . This book was released on 2001 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents that the weighting of analysts' annual earnings forecasts implicit in security prices is lower than the historical relation between financial analysts' forecasts and realized earnings. Short positions in securities in the bottom decile and long positions in the top decile of the cross-sectional distribution of analysts' early-in-the-year earnings forecasts generate significant hedge-portfolio returns in the year after portfolio formation. This delayed price response is more pronounced for firms with relatively low analyst coverage, consistent with the premise that low financial analyst coverage is associated with a variety of factors that impede the information efficiency of the security market. The hedge-portfolio returns concentrate in the months of subsequent quarterly earnings announcements, suggesting that the delayed security price adjustments reflect the market's failure to incorporate information in analysts' forecasts about future earnings, rather than deficiencies in our conditional expectations of security returns.
Download or read book Individual Investor Trading and Return Patterns Around Earnings Announcements written by and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents evidence consistent with informed trading by individual investors around earnings announcements using a unique dataset of NYSE stocks. We show that intense aggregate individual investor buying (selling) predicts large positive (negative) abnormal returns on and after earnings announcement dates. We decompose the abnormal returns into a component that is attributed to risk-averse liquidity provision and a component that is attributed to private information or skill, and show that about half of the abnormal returns in the three months following the event can be attributed to private information. We also examine the behavior of individuals after the earnings announcement and find that they trade in the opposite direction to both pre-event returns (i.e., exhibit "contrarian" behavior) and the earnings surprise (i.e., exhibit "news-contrarian" behavior). The latter behavior, which could be consistent with profit-taking, has the potential to slow down the adjustment of prices to earnings news and contribute to the post-earnings announcement drift.
Download or read book An Empirical Investigation of the Differential Market Response to Quarterly Earnings Announcements written by Salem Mohamed Bengharbia and published by . This book was released on 1982 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract.
Download or read book International Directory of Business and Management Scholars and Research Lor Z indexes written by Deanna LaValle and published by . This book was released on 1995 with total page 1378 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Anomalous Stock Returns Around Internet Firms Earnings Announcements written by Brett Trueman and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents evidence of persistent anomalies in internet firms' stock returns surrounding their quarterly earnings announcements. There is a general run-up in prices in the days prior to the earnings announcement, which extends through the market opening on the day subsequent to the release. This is followed by a price reversal lasting for several days. The magnitude of the market-adjusted returns associated with these price movements exceeds 11 percent over a 10-day period. There is little evidence to suggest that these returns can be explained either by the earnings news disclosed or by changes in risk around the earnings announcements. Additional analyses suggest that these return patterns are driven, at least in part, by price pressure which exists in the days before internet firms' earnings announcements. A trading strategy designed to exploit these price patterns would have generated a daily return of more than 1 percent over the sample period.
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Download or read book Rethinking Determinants of Trading Volume at Earnings Announcements written by Alina Lerman and published by . This book was released on 2019 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory offers three main determinants of informationally driven trading volume at earnings announcements: pre-announcement difference in private information precision, belief divergence or differential interpretation, and signal strength. In this paper, we empirically test which theoretical determinants best explain earnings announcement volume conditional on the level of earnings news. We first document that, consistent with signal strength, there is a strong positive (negative) association between volume and both contemporaneous and immediately preceding returns for good (bad) earnings news. Next, we explicitly test the association between volume and various proxies for its three theorized determinants conditional on earnings news. We find that trading volume is highly associated with upward (downward) contemporaneous analyst revisions in the presence of good (bad) earnings news. It is also associated with future earnings surprises, the F-score, and the change in shares shorted, especially for good news firms. Volume is moderately associated with proxies of belief divergence, particularly for bad and neutral news firms. Finally, proxies for pre-announcement difference in private information precision do not appear to significantly explain trading volume for any level of earnings news. Examining financial press data we document an association between abnormal volume and coverage of a multitude of news items. Taken together, our results suggest that trading volume at earnings announcements is more reflective of the quantity and quality of information released, but its dynamics significantly vary with the nature of the disclosed news.
Download or read book Differential Precision of Predisclosure Information Across Traders and Trading Volume at Earnings Announcements written by Ashiq Ali and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kim and Verrecchia (1991a) propose that volume reaction to a public announcement is proportional to the product of absolute price change at the announcement and a measure of differential precision of predisclosure information across traders. We use ownership by institutions with medium stakes (between 1 to 5 percent of outstanding shares) as a measure of differential information precision, given that these institutional investors, as compared to other institutional and individual investors, are likely to have more precise predisclosure information and are more likely to trade at earnings announcements based on their belief revision about stock value. We examine this proposition in the context of earnings announcements and obtain results consistent with the theory. Tests of the theory by prior studies have yielded somewhat inconclusive results.
Download or read book Annual Commencement written by Stanford University and published by . This book was released on 1987 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
