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Aggregate Market Reaction To Earnings Announcements
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Book Synopsis Aggregate Market Reaction to Earnings Announcements by : Umit G. Gurun
Download or read book Aggregate Market Reaction to Earnings Announcements written by Umit G. Gurun and published by . This book was released on 2009 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and, specifically, that good earnings news is associated with a positive shock to required returns. We also find some evidence that this negative relation persists well beyond the immediate announcement period, suggesting that market participants do not immediately fully impound these future market return implications of aggregate earnings news.
Download or read book Total Attention written by Linda H. Chen and published by . This book was released on 2018 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements with concurrent macroeconomic news announcements actually have significantly stronger immediate market response and weaker post-earnings announcement drift. We hypothesize that the combined total attention to macroeconomic news and earnings announcements helps investors understand both the systematic and firm-specific components of earnings surprises. Consistent with the hypothesis, our results show that the macroeconomic news effect is mainly driven by firms with high exposure to macroeconomic news. Moreover, we show that the effect is stronger when macroeconomic news contains more information and for firms with greater information uncertainty. Finally, we provide evidence that macroeconomic news helps reduce stock return uncertainty and enhance stock price efficiency.
Book Synopsis Aggregate Market Attention and Earnings Announcements by : Abdullah Kumas
Download or read book Aggregate Market Attention and Earnings Announcements written by Abdullah Kumas and published by . This book was released on 2013 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the relation between the volume of earnings disclosures by firms and aggregate stock market trading activity. Although the relation between the trading activity experienced by disclosing firms and announcement volume is negative, consistent with the firm level evidence of Hirschleifer et al. (2009a), the relations between number of announcements and both overall trading and non-announcer volume are positive. Hence, while it is true that high numbers of announcement distract investor attention within the set of announcing firms, it is also true that investor attention to the market as a whole (i.e., aggregate attention) increases with number of announcements. Results also show that the average aggregate surprise content of the announced earnings has a negative impact on overall volume. The strong positive relation between aggregate attention and number of announcements is mainly driven by large announcers. Finally, the arrival of a greater number of negative earnings surprises distracts investor attention from the announcers, and the aggregate market attention is equally attracted by positive and negative numbers of news.
Book Synopsis The Market Reaction to 10-K and 10-Q Filings to Subsequent Wall Street Journal Earnings Announcements by : Earl Kay Stice
Download or read book The Market Reaction to 10-K and 10-Q Filings to Subsequent Wall Street Journal Earnings Announcements written by Earl Kay Stice and published by . This book was released on 1989 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Response to Earnings Announcements by : Ki Choong Han
Download or read book Market Response to Earnings Announcements written by Ki Choong Han and published by . This book was released on 1990 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A by : VICTOR L. BERNARD
Download or read book STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A written by VICTOR L. BERNARD and published by . This book was released on 1992 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Price Reaction to Quarterly Earnings Announcements with respect of outlook changes and deviation to consensus forecast by : Benjamin Schmitt
Download or read book Stock Price Reaction to Quarterly Earnings Announcements with respect of outlook changes and deviation to consensus forecast written by Benjamin Schmitt and published by GRIN Verlag. This book was released on 2015-06-02 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.1, EBS European Business School gGmbH (Finance), language: English, abstract: Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them. This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.
Book Synopsis Aggregate Market Attention Around Earnings Announcements by : Abdullah Kumas
Download or read book Aggregate Market Attention Around Earnings Announcements written by Abdullah Kumas and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examined the relation between the volume of earnings disclosures by firms and aggregate stock market trading activity. Although the relation between the trading activity experienced by disclosing firms and announcement volume is negative, consistent with the firm level evidence of Hirschleifer et al. (2009a), the relations between number of announcements and both overall trading and non-announcer volume are positive. Hence, while it is true that high numbers of announcement distract investor attention within the set of announcing firms, it is also true that investor attention to the market as a whole (i.e., aggregate attention) increases with number of announcements. Results also showed that the average aggregate surprise content of the announced earnings has a negative impact on overall volume. Finally, the strong positive relation between aggregate attention and number of announcements is mainly driven by large announcers.
Book Synopsis Trading on Corporate Earnings News by : John Shon
Download or read book Trading on Corporate Earnings News written by John Shon and published by Financial Times/Prentice Hall. This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades--in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies' quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks-and, in some cases, conduct large sample tests-to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Book Synopsis Market Reactions to Earnings Announcements by : Duc Khuong Nguyen
Download or read book Market Reactions to Earnings Announcements written by Duc Khuong Nguyen and published by Palgrave Macmillan. This book was released on 2014-11-15 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of market reaction around earnings announcements is central to the understanding of investor's behavior. Traditional finance theory assumes that investors are rational, and their behavior is objective. But, since investor rationality is not confirmed by facts and cognitive psychology plays an undeniable role in the exhaustive understanding of human behavior, a more effective tool rather than traditional models based on the concept of capital market efficiency might be required to gauge investor's behavior. The use of experimental method is, in this case, particularly advantageous in that it allows us to take both the psychological and irrational parameters of market operators into account. This book provides an in-depth investigation into market anomalies and market reactions to earnings announcements from an experimental perspective. It discusses various experimental designs and modeling techniques needed by finance researchers and practitioners to analyze the dynamic behavior of markets and operators.
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Market Reaction to Patterns of Earnings by : Anna Agapova
Download or read book Market Reaction to Patterns of Earnings written by Anna Agapova and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research shows that easily discernable patterns in earnings -- strings of earnings increases (decreases) and breaks in such strings -- affect investors' long-term valuation of stocks. We examine short-term market reaction before, during, and after earnings announcements to formally test how investors process news of continuation or the end of strings relatively to non-patterned firms. Our results confirm differential reaction measured with cumulative abnormal returns (CARs) between patterned and non-patterned firms. However, we observe the strongest market response to announcements of breaks, than to strings or non-patterned firms. Post-announcement drift (PEAD) and pre-announcement “leakage” is mostly attributable to break firms as well. Our results hold after controlling for information released in earnings announcements and characteristics of firms, patterns and information environment. Breaks in earnings strings might be one of the driving forces behind previously documented market anomalies surrounding earnings announcements, as investors need to re-valuate the stocks when earnings patterns end.
Book Synopsis Consistent Expectation Management Patterns and Market Reactions to Earnings Announcements by : Yunhao Chen
Download or read book Consistent Expectation Management Patterns and Market Reactions to Earnings Announcements written by Yunhao Chen and published by . This book was released on 2008 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Opportunity Knocks But Once by : Yifan Li
Download or read book Opportunity Knocks But Once written by Yifan Li and published by . This book was released on 2019 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We define a delayed disclosure ratio (DD) as the fraction of 10-Q financial statement items that are withheld at the earlier quarterly earnings announcement. We find that higher DD firms have a greater delay in investor and analyst response to earnings surprises: (i) the fraction of total market reaction to quarterly earnings news realized around the earnings announcement (after the 10-Q filing) is smaller (greater), and (ii) analysts are more likely to defer issuing forecasts from immediately after the earnings announcement to after the 10-Q filing. Consistent with our limited attention model predictions, the response catch-up associated with DD is incomplete even after the delayed items are fully disclosed at the 10-Q filing date, and persists until the next earnings announcement date. The return reaction to earnings news over the entire quarter does not vary with DD, so differences in earnings informativeness do not explain the DD effect. Our findings suggest that, for limited attention effects to be mitigated, the timing of disclosures must be coincident with the focal periods--at earnings announcement dates--when investors and analysts are paying the most attention.
Book Synopsis Analysis of Post-earnings Announcement Market Reactions by : Nils Carlson
Download or read book Analysis of Post-earnings Announcement Market Reactions written by Nils Carlson and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The stock market, according to the efficient market hypothesis, is informationally efficient in that prices instantly reflect all available public information. Prior financial literature on the study of the relationship between earnings announcements and their effect on the stock market reveals that there is a significant "drift" of a firm's cumulative abnormal return that occurs in the direction of its earnings surprise. This phenomenon is in contrast to how the efficient market hypothesis would expect the market to react to this new information. The prior studies on this topic were conducted in the 1980s - before the existence of both high-speed access to news via cell phone alerts and the increasing ability to trade quickly on new information via online brokers. This study attempts to test this "post-earnings announcement drift" on the current market to see if this phenomenon is still relevant in today's market and to see if it can be exploited. This study finds that there is still a post-earnings announcement drift that persists for the twenty-one days following earnings announcements. The cumulative abnormal returns continue to drift upwards for "good news" firms and continue to drift downwards for "bad news" firms for twenty-one days and may continue in the same direction after this period. This study also finds that a trading strategy that involves forming long portfolios of firms that beat earnings by the greatest magnitude (most positive earnings surprise) and also have the largest abnormal return on the day of the announcement and forming a short portfolio of firms that miss estimates by the greatest magnitude (most negative earnings surprise) and have the most negative abnormal return on the day of the announcement had an average annualized return of 20.343% over the ten year period starting in 2004 while the S & P 500 had an average annualized return of 9.1% over the same period.
Book Synopsis Expectations and the Structure of Share Prices by : John G. Cragg
Download or read book Expectations and the Structure of Share Prices written by John G. Cragg and published by University of Chicago Press. This book was released on 2009-05-15 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
Book Synopsis Volatility Spread and the Stock Market Response to Earnings Announcements by : Qin Lei
Download or read book Volatility Spread and the Stock Market Response to Earnings Announcements written by Qin Lei and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month period leading up to the EAD. In addition, the direction of these deviations is consistent with the announcement returns of such earnings releases. More importantly, by adapting the earnings response coefficient (ERC) framework, we find that pre-earnings option trading actually increases rather than decreases the stock market response to the earnings announcements. In a cross section of earnings announcements, we find stronger stock market reaction from earnings announcements with greater abnormal implied volatility spread immediately before the EAD. By relating option volume to investor attention, we find higher pre-announcement option volume is associated with increased stock market response. Overall, our findings suggest that pre-earnings option trading helps alleviate the stock market under-reaction to earnings announcements and make the stock market response more complete.
