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Firms that redact proprietary information in their IPO filings bear significant costs to shield that information, and yet we find that the majority choose voluntary disclosure via management forecasts. They modify the characteristics of their forecasts in ways that plausibly attempt to reduce...
Persistent link: https://www.econbiz.de/10012913536
Asymmetric timeliness (AT) measure from Basu (1997) regression is priced. Sorting firms on AT produces a 40 bp per month spread in six-factor alphas. The AT effect is driven almost exclusively by the bottom AT quintile, populated by aggressive firms that recognize gains more timely than losses....
Persistent link: https://www.econbiz.de/10013491826
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
Motivated by research in psychology and experimental economics, we assume that investors update their beliefs about an asset's value upon observing the price, but only when the price clearly reveals that others obtained private information that differs from their own private information....
Persistent link: https://www.econbiz.de/10012894870
Motivated by investor disagreement and corporate disclosure literatures, we examine how stock price shocks affect future stock returns. We find that both large short-term price drops and hikes are followed by negative abnormal returns over the subsequent year, consistent with the conjecture that...
Persistent link: https://www.econbiz.de/10013009192
How stock price synchronicity mirrors firm-specific information has been a subject of much debate. We posit that price synchronicity can be low in either good or bad firm-specific information environments because stock prices incorporate both public and private information. Using three proxies...
Persistent link: https://www.econbiz.de/10012951573
Motivated by research in psychology and experimental economics, we assume that investors update their beliefs about an asset's value upon observing the price, but only when the price clearly reveals that others obtained private information that differs from their own private information. In...
Persistent link: https://www.econbiz.de/10012938215
Using the Credit Rating Agency Reform Act of 2006, we examine the credibility of mandatory disclosure by credit rating agencies (CRAs) on managerial learning from stock prices. We find an increase in investment-price sensitivity for firms affected by the Act. Consistent with managers relying...
Persistent link: https://www.econbiz.de/10014239046
Why does the market react to companies’ announcements of strategic alternatives with a +5.2 percent return, only to experience a future return of -9.7 percent? We find evidence consistent with a mispricing explanation in that: (i) investors and analysts are overly optimistic about a potential...
Persistent link: https://www.econbiz.de/10014258316
New media have markedly enhanced individuals' capacity to produce and disseminate original knowledge; however, the literature has not extensively examined the broad effects of such decentralized production processes. The current study thus focuses on a unique context — the stock market — in...
Persistent link: https://www.econbiz.de/10013055288