We test the proposition in Johnstone (2016) that new information may lead to higher, rather than lower, uncertainty about firms' future payoffs. Based on the Bayesian rule, we hypothesize earnings news that is inconsistent with investors' prior belief will lead to higher market uncertainty....

This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...

This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...

Financial executives of firms engaged in forward contracting have raised concerns that mandated disclosure of those contracts would reveal proprietary information to rival firms. This paper considers the basis for those concerns in the framework of a duopoly in which one privately informed...

We model limited attention as incomplete usage of publicly available information. Informed players decide whether or not to disclose to observers who sometimes neglect either disclosed signals or the implications of non-disclosure. In equilibrium observers are unrealistically optimistic,...

This paper examines the relation between information's properties, such as reliability and relevance, and public disclosure policy. It shows that the optimal accounting system often involves a carefully balanced combination of mandatory and voluntary disclosure, with mandatory reporting focused...

We study firms' voluntary disclosures in a world of potential information leaks. We find that managers adapt their disclosure strategy to the likelihood and expected scope of leaks. An increasing likelihood fosters voluntary disclosure if leaks merely expose the manager's information endowment...

Hirshleifer et al. (2009) document a negative relation between abnormal trading volume in stocks with earnings announcements and the number of “competing” earnings announcements on the same day. They argue that this relation stems from distraction on the part of fundamental investors. We...