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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 particular, we assume that investors learn from the price of an asset … in an asymmetric manner--they learn from the price if they observe good (bad) private information and the price is worse …
Persistent link: https://www.econbiz.de/10012938215
prices as a source of information, since it introduces endogenous serial correlation in the price signal and cross …
Persistent link: https://www.econbiz.de/10012828061
price informativeness with respect to earnings news. Enhanced DMM participation is associated with greater informed trading …
Persistent link: https://www.econbiz.de/10013294096
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
Research assigns significant share price relevance to linguistic tone in earnings conference calls. Tone is, however …
Persistent link: https://www.econbiz.de/10014352819
The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....
Persistent link: https://www.econbiz.de/10013090197
Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...
Persistent link: https://www.econbiz.de/10012309456
Prior studies show that investor learning about earnings-based return predictors from academic research erodes return predictability. However, the signaling power of “bottom-line” earnings has declined over time, which complicates assessments of investor learning about profitability signals...
Persistent link: https://www.econbiz.de/10012891102
This study examines the role of expectations management in explaining why firms with high dispersion in analyst forecasts experience relatively low future stock returns. We first demonstrate that the negative relation between dispersion and returns is concentrated around earnings announcements...
Persistent link: https://www.econbiz.de/10012842139
We investigate whether mandatory earnings announcement date forecasts are informative to investors and the informational tradeoffs between mandatory and voluntary forecasts. We find: (i) The percentages of the quarter's earnings news conveyed by mandatory China and voluntary US forecasts are...
Persistent link: https://www.econbiz.de/10011980114