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Analyst Information Precision and Small Earnings Surprises

Bissessur, Sanjay - 2017

This study proposes and tests an alternative to the extant earnings management explanation for zero and small positive earnings surprises (i.e., analyst forecast errors). We argue that analysts' ability to strategically induce slight pessimism in earnings forecasts varies with the precision of...

Persistent link: https://www.econbiz.de/10012973956

Earnings Announcements and Option Returns

Chung, Sung Gon - 2016

-portfolio formation volatility is low (high) and the pre-expiration realized volatility is high (low). Apparently, the average option … trader underestimates future volatility before forthcoming earnings announcements, particularly after a period of relatively … low volatility, and overestimates future volatility after recent earnings announcements, particularly after a period of …

Persistent link: https://www.econbiz.de/10012977389

A Surprise That Keeps You Awake : Overnight Returns After Earnings Announcements

Gamm, Fabian - 2020

I dissect stock returns after earnings announcements into their overnight and intraday components and document strong positive abnormal overnight returns for several weeks after both large positive and negative earnings surprises. This finding is in line with attention-induced buying pressure....

Persistent link: https://www.econbiz.de/10012850750

Dark trading and post earnings announcement drift

Thomas, Jacob K. - 2020

Both theory and evidence are mixed regarding the impact on prices of trading on “dark” venues partially exempt from National Market System requirements. Theory predicts that price discovery improves as dark venues siphon noisy uninformed trades, but increased adverse selection reduces...

Persistent link: https://www.econbiz.de/10012851717

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Ardia, David - 2020

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental information that is useful for price discovery for non financial S&P 500 firms. The positive relationship found between the...

Persistent link: https://www.econbiz.de/10012852122

Oil Price Exposure, Earnings Announcements, and Stock Return Predictability

Moore, Jordan - 2020

We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...

Persistent link: https://www.econbiz.de/10012852476

(Naked) Short Selling Around Earnings Announcement

Wang, Ye - 2020

Since short sellers are considered sophisticated traders and respond to corporate news and public information in a timely manner, corporate earnings announcements containing new information can be used to update the beliefs of short sellers and affect their investment strategies. Abnormal market...

Persistent link: https://www.econbiz.de/10012854981

Earnings Announcement Return Extrapolation

Ertan, Aytekin - 2020

We propose that extrapolative beliefs about earnings announcement (EA) returns may contribute to our understanding of EA return patterns. We construct a theoretically-motivated measure of extrapolative investors' expectations based on a stock's recent history of EA returns. We then show that...

Persistent link: https://www.econbiz.de/10012855765

Investor Preference and Stock Price Underreaction : Evidence from Post Earnings Announcement Drift

Jiao, Yawen - 2020

This paper shows investors' lottery preference can attenuate price underreaction to extreme good earnings news. Such news reaffirms investors' preference for stocks with strong ex ante lottery-like features, thereby accelerating price adjustments. We find that PEAD attenuates for stocks with...

Persistent link: https://www.econbiz.de/10012856036

Comparing Non-GAAP EPS in Earnings Announcements and Proxy Statements

Black, Dirk E. - 2020

We compare non-GAAP EPS in annual earnings announcements and proxy statements using hand-collected data from SEC filings. We find that proxies for capital market incentives (contracting incentives) are more highly associated with disclosure of non-GAAP EPS in annual earnings announcements (proxy...

Persistent link: https://www.econbiz.de/10012856894