Can The Bond Price Reaction To Earnings Announcements Predict Future Stock Returns PDF Download
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| Author | : Omri Even-Tov |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Can the Bond Price Reaction to Earnings Announcements Predict Future Stock Returns? Book in PDF, ePub and Kindle
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 | : |
Download When Does the Bond Price Reaction to Earnings Announcements Predict Future Stock Returns? Book in PDF, ePub and Kindle
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 | : Sudip Datta |
| Publisher | : |
| Total Pages | : 150 |
| Release | : 1989 |
| Genre | : Bonds |
| ISBN | : |
Download Bond and Stock Price Reaction to Unexpected Earnings Announcements Book in PDF, ePub and Kindle
| Author | : VICTOR L. BERNARD |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
Download STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A Book in PDF, ePub and Kindle
| Author | : Peter D. Easton |
| Publisher | : |
| Total Pages | : 63 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Initial Evidence on the Role of Accounting Earnings in the Bond Market Book in PDF, ePub and Kindle
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 | : Cameron Truong |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns Book in PDF, ePub and Kindle
We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings announcement idiosyncratic volatility is asymmetric where only idiosyncratic volatility based on positive stock returns is priced. This is consistent with the argument that investors have a preference for stocks with large payoffs during earnings announcements.
| Author | : Leonard Zacks |
| Publisher | : John Wiley & Sons |
| Total Pages | : 352 |
| Release | : 2011-08-24 |
| Genre | : Business & Economics |
| ISBN | : 1118127765 |
Download The Handbook of Equity Market Anomalies Book in PDF, ePub and Kindle
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.
| Author | : Jennifer Francis |
| Publisher | : Now Publishers Inc |
| Total Pages | : 97 |
| Release | : 2008 |
| Genre | : Business & Economics |
| ISBN | : 1601981147 |
Download Earnings Quality Book in PDF, ePub and Kindle
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 | : Rajendra Akerkar |
| Publisher | : Jones & Bartlett Publishers |
| Total Pages | : 375 |
| Release | : 2009-08-25 |
| Genre | : Computers |
| ISBN | : 1449662706 |
Download Knowledge-Based Systems Book in PDF, ePub and Kindle
A knowledge-based system (KBS) is a system that uses artificial intelligence techniques in problem-solving processes to support human decision-making, learning, and action. Ideal for advanced-undergraduate and graduate students, as well as business professionals, this text is designed to help users develop an appreciation of KBS and their architecture and understand a broad variety of knowledge-based techniques for decision support and planning. It assumes basic computer science skills and a math background that includes set theory, relations, elementary probability, and introductory concepts of artificial intelligence. Each of the 12 chapters is designed to be modular, providing instructors with the flexibility to model the book to their own course needs. Exercises are incorporated throughout the text to highlight certain aspects of the material presented and to simulate thought and discussion. A comprehensive text and resource, Knowledge-Based Systems provides access to the most current information in KBS and new artificial intelligences, as well as neural networks, fuzzy logic, genetic algorithms, and soft systems.
| Author | : Wesley R. Gray |
| Publisher | : John Wiley & Sons |
| Total Pages | : 230 |
| Release | : 2015-08-31 |
| Genre | : Business & Economics |
| ISBN | : 111907150X |
Download DIY Financial Advisor Book in PDF, ePub and Kindle
DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!
