Overreaction to Intra-industry Information Transfers?
AbstractABSTRACT Prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry. We document a stock market anomaly associated with this phenomenon of intra-industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports. Apparently, the stock market overestimates the intra-industry implications of early announcers' earnings for late announcers' earnings, and that overestimation is corrected when late announcers disclose their earnings. Copyright (c), University of Chicago on behalf of the Institute of Professional Accounting, 2008.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Accounting Research.
Volume (Year): 46 (2008)
Issue (Month): 4 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0021-8456
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- Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
- Haifeng You & Xiao-Jun Zhang, 2011. "Limited attention and stock price drift following earnings announcements and 10-K filings," China Finance Review International, Emerald Group Publishing, vol. 1(4), pages 358-387, August.
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