An Empirical Investigation Of Pre Earnings Announcement Quiet Periods PDF Download
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Author | : Richard M. Frankel |
Publisher | : |
Total Pages | : 31 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download An Empirical Investigation of Pre-Earnings Announcement Quiet Periods Book in PDF, ePub and Kindle
Previous research suggests legal liability as a strong determinant of corporate disclosure policies and the content of corporate disclosures. We study the influence of pre-earnings announcement quiet periods on legal liability and the affect of Regulation FD on corporation's use of quiet periods. The we provide evidence on three questions: First, we test whether quiet periods have become more prominent following the implementation of regulation FD. Second, we compare the characteristics of quiet period firms to firms making earnings forecasts after the fiscal-period-end. Third, we investigate how trading volume at and before earnings announcement dates differs between companies with quiet periods and companies making earnings forecasts after the fiscal-period-end. The purpose of these tests is to better understand the effect of legal liability on non-disclosure policies. We find a substantial increase in the number of reported quiet periods after implementation of FD requirements. We also find that quiet period firms have characteristics associated with higher litigation risk. Finally, we find that volume is significantly higher before and significantly lower at earnings announcement dates associated with quiet periods.
Author | : William Kross |
Publisher | : |
Total Pages | : 24 |
Release | : 1984 |
Genre | : |
ISBN | : |
Download An Empirical Investigation of the Effect of Quarterly Earnings Announcement Timing on Stock Returns Book in PDF, ePub and Kindle
Author | : Alika M. Phipps |
Publisher | : |
Total Pages | : 46 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download A Study of Market Efficiency in the Period Preceding Earnings Announcements Book in PDF, ePub and Kindle
The Efficient Market Hypothesis, which has been one of the fundamental propositions of finance for over 30 years, implies that an investor, whether he is an amateur or a professional trader, cannot consistently beat the market. In this study, we examine if this theory holds in the period preceding an earnings announcement, by testing whether there is a relationship between stock returns before and after an earnings announcement. We find that there exists a negative correlation between pre-earnings returns and post-earnings returns for small capitalization stocks that could be explained by investor irrationality. This relationship is statistically significant for pre-earnings returns calculated up to a 10 day period preceding an earnings announcement and strongest over a 3 day period. We also tested to see if there was a correlation between the earnings results in the last quarter and the movements in stock price prior to this quarter's earnings announcement, and did not observe any statistically significant outcomes.
Author | : Salem Mohamed Bengharbia |
Publisher | : |
Total Pages | : 123 |
Release | : 1982 |
Genre | : Corporate profits |
ISBN | : |
Download An Empirical Investigation of the Differential Market Response to Quarterly Earnings Announcements Book in PDF, ePub and Kindle
Abstract.
Author | : |
Publisher | : |
Total Pages | : 1188 |
Release | : 2003 |
Genre | : Law |
ISBN | : |
Download Michigan Law Review Book in PDF, ePub and Kindle
Author | : Richard A. Schneible Jr. |
Publisher | : |
Total Pages | : 41 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Pre-Announcement and Event-Period Private Information Book in PDF, ePub and Kindle
We study cross-sectional differences in pre-announcement and event-period private information acquisition across firm size and institutional ownership using trading volume reactions to earnings announcements. We find that abnormal volume associated with absolute price change increases with both firm size and institutional ownership, suggesting that pre-announcement private information acquisition increases with firm size and institutional ownership. We also find that abnormal volume independent of absolute price change increases with institutional ownership, suggesting that event-period private information acquisition increases with institutional ownership. In contrast, abnormal volume independent of absolute price change decreases with firm size, reflecting the previously documented positive relation between firm size and the precision of pre-announcement public information. By demonstrating that firm size and institutional ownership are determinants of pre-announcement and event--period private information acquisition, this study provides new insights regarding the incentive to acquire private information around earnings announcements and helps explain prior empirical results in trading volume reaction studies.
Author | : Gordon Douglas Richardson |
Publisher | : |
Total Pages | : 149 |
Release | : 1983 |
Genre | : Corporations |
ISBN | : |
Download A Theoretical and Empirical Investigation of the Information Content of Annual Earnings Announcements Book in PDF, ePub and Kindle
Author | : Dušan Isakov |
Publisher | : |
Total Pages | : 24 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Evolution of Market Uncertainty Around Earnings Announcements Book in PDF, ePub and Kindle
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. We propose a theoretical framework for the evolution of the ISD that takes into account two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. In this context, the ISD should decrease after an earnings announcement but the post-announcement ISD path depends on the content of the earnings announcement: good news or bad news. An empirical investigation is conducted on the Swiss market over the period 1989-1998.
Author | : Gordon Chapman |
Publisher | : |
Total Pages | : 424 |
Release | : 1973 |
Genre | : Corporation reports |
ISBN | : |
Download An Empirical Investigation of the Time Taken to Announce the Annual Earnings of the Firm Book in PDF, ePub and Kindle
Author | : Markku J. Vieru |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Pre-Disclosure Information Asymmetry and Information Content as a Means of Explaining Trading Volume Responses to Interim Earnings Announcements in a Thinly Traded Stock Market Book in PDF, ePub and Kindle
This study contains empirical findings regarding the effect of interim earnings announcements on investors' trading behavior. The aim of the paper is to empirically investigate whether the trading volume reaction to an interim earnings announcement is associated with the information content of the announcement and the existence of pre-disclosure information asymmetry in the Finnish stock market. The reason for using Finnish data is to establish whether findings from the US in respect of explaining volume inducement around an information event also hold in thin security markets. Pre-disclosure information asymmetry is proxied by the range in analysts' earnings forecasts. Information content is proxied by beta-adjusted returns and the divergence in reported EPS from analysts' mean EPS forecast. The data consist of 118 interim earnings announcements released by 21 firms traded on the Helsinki Stock Exchange (HSE) between 1992 and 1996. It was found that the trading volume reaction is positively associated with the information content of an announcement and also to some extent with the level of pre-disclosure information asymmetry. These results are in line with Kim and Verrecchia's theoretical trading volume proposition and with empirical findings in the US markets. Thus, previous findings produced in more developed stock markets with respect to volume generation around earnings announcements also seem to be applicable to thin markets. However, the significance levels are lower than in similar US studies and the association between positive and negative news is slightly asymmetric.