Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Bond And Stock Price Reaction To Unexpected Earnings Announcements PDF full book. Access full book title Bond And Stock Price Reaction To Unexpected Earnings Announcements.
| Author | : Sudip Datta |
| Publisher | : |
| Total Pages | : 150 |
| Release | : 1989 |
| Genre | : Bonds |
| ISBN | : |
| Author | : Sudip Datta |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 1990 |
| Genre | : Bonds |
| ISBN | : |
| Author | : Omri Even-Tov |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
In this paper I show that the bond price reaction to earnings announcements has predictive power for post-announcement stock returns and that it is incremental to previously documented accounting-related anomalies. I find that bonds' predictive ability is driven by non-investment grade bonds, for which earnings releases provide more value-relevant information. It is also stronger in firms with a lower proportion of institutional shareholders and for bonds whose trading is more heavily dominated by sophisticated investors. This suggests that the greater level of investor sophistication in the bond market relative to the stock market is what gives bond returns the ability to predict future stock returns. By demonstrating that a firm's bond price reaction to an earnings announcement can predict future stock returns, this paper adds to the literature which documents that various earnings components also have predictive ability for post-announcement stock returns.
| Author | : Omri Even-Tov |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
In this paper I show that the bond price reaction to earnings announcements has predic- tive power for post-announcement stock returns and that this predictive ability is driven by the bonds of non-investment grade firms. I find that bonds' predictive ability is more pronounced in firms that have a lower level of institutional shareholder ownership and whose bonds are more liquid. This paper enhances our understanding of the relation between the stock and bond markets and complements the literature which documents whether, and under what circumstances, various accounting-based measures and financial statement components predict post-announcement stock returns.
| Author | : VICTOR L. BERNARD |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
| Author | : Peter D. Easton |
| Publisher | : |
| Total Pages | : 63 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
We document that: (1) the incidence of bond trade increases during the days surrounding earnings announcements; (2) there is a bond-price reaction to the announcement of earnings; and (3) there is a positive association between annual bond returns and both annual changes in earnings and annual analysts' forecast errors. All of these effects are larger when earnings convey bad news or when the underlying bond is more risky. Taken together, our results suggest that the nonlinear payoff structure of bond securities affects the role of accounting earnings in the bond market.
| Author | : Xiaoting Wei |
| Publisher | : |
| Total Pages | : 528 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
This thesis investigates the impact of three corporate events on corporate bond prices in the U.S. Specifically, the first empirical essay examines whether bond prices exhibit delayed reactions to earnings announcements. The second essay examines whether bond prices react to equity analysts' recommendation revisions and the third essay examines whether bond prices react to unexpected dividend changes. The results from the first essay show that the bond price reactions to earnings news are asymmetric, with greater reactions following negative earnings surprises than following positive earnings surprises. This is consistent with the Black-Scholes (1973) bond pricing model. Bond price reactions are also reported to be affected by bond risk. Because issuers of riskier bonds are more likely to face default, earnings news is reported to be more pertinent to the value of riskier bonds.The second essay reports similar asymmetric bond price reactions. The bond price reactions appear to be directed more towards recommendation downgrades than towards upgrades. In addition, riskier bonds tend to exhibit stronger reactions to recommendation revisions than safer bonds do.The third essay documents significant and negative bond price reactions to dividend cuts and the significant reactions of speculative-grade (riskier) bonds to dividend changes. The bond price changes are in the same direction as the dividend changes are, which supports the dividend information content hypothesis rather than the wealth expropriation hypothesis, which would predict opposite bond price reactions.
| Author | : Xiaoting Wei |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Employing an event study approach, we examine 5,574 bond return reactions to unexpected quarterly dividend change announcements in the U.S. corporate bond market over the period 2002-2014. Overall, we report a significant bond price reaction in the same direction as dividend changes, which supports the hypothesis that dividend changes signal future firm performance. We also find that the bond return reaction is more pronounced if the dividends are reduced than if they are increased. We document a wealth transfer effect when riskier bonds are issued by firms with a low cash ratio and are approaching maturity. These results still hold after we control for the financial crisis and dividend covenants and when we use alternative variables to capture the dividend surprise.
| Author | : Jennifer Francis |
| Publisher | : Now Publishers Inc |
| Total Pages | : 97 |
| Release | : 2008 |
| Genre | : Business & Economics |
| ISBN | : 1601981147 |
This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
| Author | : Leonard Zacks |
| Publisher | : John Wiley & Sons |
| Total Pages | : 352 |
| Release | : 2011-08-24 |
| Genre | : Business & Economics |
| ISBN | : 1118127765 |
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
