IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01002860.html
   My bibliography  Save this paper

Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts

Author

Listed:
  • Emilios C. C Galariotis

    (Audencia Recherche - Audencia Business School)

  • Constantinos Antoniou
  • Daniel Read

Abstract

Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesise that analyst forecasts for smaller companies are relatively more ambiguous; hence they are priced pessimistically by ambiguity-averse investors. As the quarter comes to a close and ambiguity gradually subsides, the stock prices of smaller companies rise to correct this pessimism, creating the size effect. Our results support these hypotheses.

Suggested Citation

  • Emilios C. C Galariotis & Constantinos Antoniou & Daniel Read, 2014. "Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts," Post-Print hal-01002860, HAL.
    • Handle: RePEc:hal:journl:hal-01002860
    DOI: 10.1111/j.1468-036X.2012.00651.x
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antoniou, Constantinos & Harris, Richard D.F. & Zhang, Ruogu, 2015. "Ambiguity aversion and stock market participation: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 57-70.
    2. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015. "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 174-191.
    3. C. Wei Li & Ashish Tiwari & Lin Tong, 2017. "Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior," Management Science, INFORMS, vol. 63(8), pages 2509-2528, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01002860. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.