Factors Associated With Differences in the Magnitude of Abnormal Returns Around NYSE Versus Nasdaq Firms' Earnings Announcements

Cheon, Youngsoon; Christensen, Theodore E.; Bamber, Linda Smith

doi:10.2139/ssrn.289023

Cited by 6 publications

(7 citation statements)

References 27 publications

(15 reference statements)

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“…While the amount of public information impounded in price prior to the earnings announcement may be correlated with firm characteristics such as firm size and analyst following, these metrics do not measure the actual impact of predisclosure information on prices. Cheon, Christensen and Bamber (2001) suggest another metric for measuring the impact of information on prices that more closely captures the construct of impounded information: cumulative abnormal returns between earnings releases. They argue that cumulating abnormal returns during the quarter captures the total amount of predisclosure information impounded in price 1 .…”

Section: Introductionmentioning

confidence: 99%

Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements

Christensen

Smith²,

Stuerke³

2004

Business Fin & Account

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This study examines the effects of public predisclosure information on market reactions to earnings announcements. We develop an empirical measure of public predisclosure information impounded in price prior to earnings announcements by cumulating abnormal returns on public news release dates during the quarter. Consistent with prior literature, we document a negative association between this measure and market reactions to subsequent earnings announcements. Moreover, we find that after controlling for this measure, firm size and analyst following are significantly "positively" associated with market reactions to earnings announcements. Contrary to prior empirical evidence, our results suggest that, after controlling for actual predisclosure information impounded in price, market reactions to earnings announcements are greater in magnitude for larger, more widely-followed firms than for smaller, less widely-followed firms. Copyright Blackwell Publishing Ltd, 2004.

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Section: Introductionmentioning

confidence: 99%

Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements

Christensen

Smith²,

Stuerke³

2004

Business Fin & Account

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“…Information environment also differs between high-IOS and low-IOS firms. Cheon, Christensen and Bamber (2001) and Gul et.al. (2001) suggest that IOS might proxy for different information processing contexts.…”

Section: Introductionmentioning

confidence: 91%

The Effect of the Private Securities Litigation Reform Act on Analyst Forecast Properties: The Impact of Firm Size and Growth Opportunities

Leung

Srinidhi

2006

Business Fin & Account

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We provide evidence that the effect of the Private Securities Litigation Reform Act (the Act) of 1995 on analyst forecast properties is conditional on firm size and growth opportunities. We show that analyst coverage, frequency of forecast revisions, forecast errors and dispersion after the Act decreased for large firms and for firms with low growth opportunities but increased for small firms and for firms with high growth opportunities. These results are consistent with the hypothesis that the Act results in additional high quality disclosures in large firms, which face higher litigation risk and tighter scrutiny from investors but not in smaller firms. Our findings of increases in analyst coverage and revision but deterioration in accuracy and precision of analyst forecasts for firms with high growth opportunities after the Act suggest that in spite of increased corporate disclosures, the information environment for analysts deteriorated in those firms. Copyright 2006 The Authors Journal compilation (c) 2006 Blackwell Publishing Ltd.

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“…Em um estudo mais recente, Cheon et al (2001) tentaram medir diretamente a quantidade de informação imputada nos preços antes do anúncio de lucros, acumulando os retornos anormais durante o trimestre 1 . Encontraram evidências de que esta proxy mede a informação pré-divulgada residual imputada no preço que não é capturada por outras proxies e que a magnitude dos retornos anormais próximo dos anúncios dos lucros está inversamente relacionada com suas proxies de informação pré-divulgada.…”

Section: Revisão Da Literaturaunclassified

Efeito das notícias pré-divulgadas no lucro: uma análise no setor de metalurgia e siderurgia brasileira

Pereira¹,

Lustosa²

2011

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RESUMO Este estudo examina a influência sobre as empresas das notícias que a imprensa divulga sobre elas, no período compreendido entre a data de encerramento do trimestre e a divulgação do seu lucro trimestral. Especificamente, o estudo verifica o efeito surpresa que a divulgação do lucro das empresas provoca nos seus preços de mercado, após controle das notícias em que essas empresas são citadas na imprensa. Os testes empíricos, realizados com a utilização do método de dados em painel, apresentam evidências de que o mercado não reagiu, na média, aos lucros quando divulgados, pois tal reação, significativamente positiva, já ocorrera no momento em que as notícias sobre as empresas foram publicadas na imprensa antes da data da divulgação do lucro. Esse resultado é contrário ao documentado na pesquisa de Christensen et al. (2004), nos Estados Unidos, e apresenta indícios de que o mercado brasileiro apresenta eficiência na sua forma semiforte. Os testes de raízes unitárias nas séries e de autocorrelação nos resíduos reforçam a consistência dos resultados apurados. Palavras-chave: conteúdo informacional, contabilidade e mercado de capitais, notícias na imprensa.

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Factors Associated With Differences in the Magnitude of Abnormal Returns Around NYSE Versus Nasdaq Firms' Earnings Announcements

Cited by 6 publications

References 27 publications

Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements

Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements

The Effect of the Private Securities Litigation Reform Act on Analyst Forecast Properties: The Impact of Firm Size and Growth Opportunities

Efeito das notícias pré-divulgadas no lucro: uma análise no setor de metalurgia e siderurgia brasileira

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