Showing 51 - 60 of 228
This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive...
Persistent link: https://www.econbiz.de/10013131489
The main purpose of this paper is to investigate whether more frequent disclosure by firms is associated with lower levels of information asymmetry among investors. Using a panel of 386 firms in the U.S. retail sector, I find that the practice of regularly providing monthly revenue disclosures...
Persistent link: https://www.econbiz.de/10013119575
Standard models of Bayesian updating predict a stronger investor reaction to new information when those investors are more uncertain about the firm. However, prior empirical literature has struggled to find widespread evidence in support of this prediction. This paper tests two explanations for...
Persistent link: https://www.econbiz.de/10012902652
We identify forward-looking statements (FLS) in firms' disclosures to distinguish between “forecast-like” (quantitative statements about earnings) and “other”, or non-forecast-like, FLS. We show that, like earnings forecasts, other FLS generate significant investor and analyst responses....
Persistent link: https://www.econbiz.de/10012940140
We examine the disclosure choice faced by managers when a previously-issued earnings forecast becomes inaccurate. In some cases, managers explicitly update the forecast with a revised earnings estimate, while in other cases, managers withdraw the original forecast without providing an update. We...
Persistent link: https://www.econbiz.de/10012942784
We find mixed support for the hypothesis that a quot;New Economyquot; subperiod occurred in the late 1990s in which the relation between equity value and traditional financial variables differs from previous periods. We examine a regression model of equity value on financial variables over 25...
Persistent link: https://www.econbiz.de/10012757307
In about 20%-30% of cases where an analyst revises two outputs (namely, earnings estimates, target prices, or stock recommendations) simultaneously, the two estimates are revised in opposite directions. Existing literature notes that these inconsistent outputs are widespread, and concludes that...
Persistent link: https://www.econbiz.de/10012853524
We examine how the ordering of information within quarterly earnings announcements influences investor response to those announcements. Specifically, we examine whether earlier discussion of earnings information, and earlier discussion of qualitatively positive or negative information, is...
Persistent link: https://www.econbiz.de/10012853782
The acceleration of globalization combined with rapid advances in technology and the growing importance of the Internet have led many researchers and practitioners to suggest that a quot;New Economyquot; has evolved in which equity valuation is different than in previous periods. We examine the...
Persistent link: https://www.econbiz.de/10012710476
Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts, but influences,...
Persistent link: https://www.econbiz.de/10013312434