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Increased information content of earnings announcements in the 21st century : an empirical investigation

Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - 2018

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

Persistent link: https://www.econbiz.de/10011873121

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns …

Persistent link: https://www.econbiz.de/10003931807

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …

Persistent link: https://www.econbiz.de/10003947435

Aggregate Market Reaction to Earnings Announcements

Cready, William M. - 2010

This analysis identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and,...

Persistent link: https://www.econbiz.de/10013148942

Presentation Slides for 'Driven to Distraction : Extraneous Events and Underreaction to Earnings News'

Hirshleifer, David A. - 2018

Psychological evidence indicates that it is hard to process multiple stimuli and perform multiple tasks at the same time. This paper tests the investor distraction hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news...

Persistent link: https://www.econbiz.de/10012916817

Opportunity Knocks But Once : Delayed Disclosure of Financial Items in Earnings Announcements and Neglect of Earnings News

Li, Yifan - 2019

We define a delayed disclosure ratio (DD) as the fraction of 10-Q financial statement items that are withheld at the earlier quarterly earnings announcement. We find that higher DD firms have a greater delay in investor and analyst response to earnings surprises: (i) the fraction of total market...

Persistent link: https://www.econbiz.de/10012903178

Weather, Institutional Investors, and Earnings News

Jiang, Danling - 2020

We examine how weather conditions near a firm's major institutional investors affect stock market reactions to firms' earnings announcements. We find that unpleasant weather experienced by institutional investors leads to more delayed market responses to earnings news. Moreover, unpleasant...

Persistent link: https://www.econbiz.de/10012852664

Chinese Institutional Trading, Stock Returns and Earnings Announcements

Chen, Zhijuan - 2014

This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the...

Persistent link: https://www.econbiz.de/10013059978

Economic Links and Cross-predictability of Stock Returns : Evidence from Characteristic-Based 'Styles'

Müller, Sebastian - 2017

Prior research has shown that information diffuses gradually across stocks that are economically linked at the industry level. I document a similar pattern when stock portfolios are formed based on characteristics that are used in the anomaly literature (e.g., size, value, asset growth)....

Persistent link: https://www.econbiz.de/10012975610

Insightful Insiders? Insider Trading and Stock Return around Debt Covenant Violation Disclosures

Griffin, Paul A. - 2012

This paper examines insider trading around first-time debt covenant violation disclosures in SEC filings, and is interesting from a research and regulatory standpoint for three reasons – delay and infrequency of a first-time disclosure, lack of attention to covenant disclosures by regulators,...

Persistent link: https://www.econbiz.de/10013115646