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Do Information Releases Increase Or Decrease Information Asymmetry New Evidence From Analyst Forecast Announcements
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Book Synopsis Do Information Releases Increase Or Decrease Information Asymmetry? New Evidence from Analyst Forecast Announcements by : Dan Amiram
Download or read book Do Information Releases Increase Or Decrease Information Asymmetry? New Evidence from Analyst Forecast Announcements written by Dan Amiram and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use analyst earnings forecasts as a setting to examine a fundamental question concerning the effect of a public information release on announcement-period information asymmetry. Prior literature documents an announcement-period increase in information asymmetry for earnings announcements and management forecasts. In contrast, we predict and document an announcement-period decrease in information asymmetry for analyst forecasts. This decrease in information asymmetry at announcement is more pronounced when forecasts have greater information content. Predictably, there is a longer-term decrease in information asymmetry after all three information release types. Although the directionally opposite effects between analyst forecasts and the other two information releases exist only temporarily during the short-window announcement period, our findings highlight key differences in announcement-period information asymmetry dynamics and provide evidence that supports extant disclosure theory. Our evidence demonstrates that the directional effect of an information release on information asymmetry at announcement depends on how the information interacts with prior information held by sophisticated and unsophisticated investors.
Book Synopsis Changes in Analysts' Information Around Earnings Announcements by : Orie E. Barron
Download or read book Changes in Analysts' Information Around Earnings Announcements written by Orie E. Barron and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we examine changes in the precision and the commonality of information contained in individual analysts' earnings forecasts, focusing on changes around earnings announcements. Using the empirical proxies suggested by the Barron et al. (1998) model that are based on the across-analyst correlation in forecast errors, we find that the commonality of information among active analysts significantly decreases around earnings announcements. We also find that the idiosyncratic information contained in these individual analysts' forecasts increases significantly immediately after earnings announcements, and this increase is more significant as more analysts revise their forecasts. These results are consistent with theories positing that an important role of accounting releases is to trigger the generation of idiosyncratic information by elite information processors such as financial analysts (Kim and Verrecchia 1994, 1997).
Book Synopsis Relationship between Analyst Forecast Properties and Equity Bid-Ask Spreads and Depths Around Quarterly Earnings Announcements by : Kiridaran (Giri) Kanagaretnam
Download or read book Relationship between Analyst Forecast Properties and Equity Bid-Ask Spreads and Depths Around Quarterly Earnings Announcements written by Kiridaran (Giri) Kanagaretnam and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the relationships between three variables which proxy for the ex-ante level of information asymmetry - forecast dispersion, forecast revision volatility, and the level of analyst coverage, and equity bid-ask spread and depth changes around quarterly earnings releases. Kim and Verrecchia, 1994 suggest that earnings releases increase the level of information asymmetry and lower the level of liquidity in the security market. Using both an OLS regression framework and a simultaneous equations model, we examine whether equity bid-ask spreads increase and depths decrease as the level of information asymmetry increases. Our results indicate that spreads are higher (relative to a non-event period) around earnings announcements when information asymmetry is more pronounced; however, depths are lower only on the day following the announcement when there is greater information asymmetry. Relative spreads have a significant positive relation with both forecast dispersion and revision volatility and a significant negative relation with analyst coverage. Relative depths have a significant negative relation with forecast dispersion and a significant positive relation with analyst coverage. Our findings indicate that the equity specialist adjusts both spreads and depths when confronting informed traders around earnings releases and that these adjustments are more pronounced when the level of information asymmetry is greater.
Book Synopsis The Value of Analyst Forecast Revisions by : Kanyuan Huang
Download or read book The Value of Analyst Forecast Revisions written by Kanyuan Huang and published by . This book was released on 2022 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the information contained in analyst forecast revisions following earnings announcements. I find that sorting firms on aggregated forecast revisions generates a much stronger post-earnings-announcement drift than sorting on measures of earnings surprises. The strong association between aggregated forecast revisions and post-earnings-announcement returns is driven by the subsample of firms with large-magnitude earnings surprises. This result is consistent with analysts' roles in interpreting corporate earnings. Further, the mispricing is the strongest when forecast revisions contradict earnings surprises, suggesting investors have difficulties in processing contradictory signals. Lastly, I document aggregated forecast revisions are more informative when the information environment around earnings announcements is more opaque, when firms have high accruals and when investors do not pay attention to the firm. They are less informative when analysts disagree with each other. Overall, these results point to the value of analyst forecast revisions following earnings announcements.
Book Synopsis Stock Market Liquidity and Information Asymmetry Around Voluntary Earnings Announcements by : Faten Lakhal
Download or read book Stock Market Liquidity and Information Asymmetry Around Voluntary Earnings Announcements written by Faten Lakhal and published by . This book was released on 2005 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies market liquidity and stock prices components of information asymmetry around non-mandated earnings announcements by focusing on effective bid-ask spreads and trading volumes. Using event study methodology for 309 voluntary earnings announcements from 1998 to 2001, we found that voluntary earnings disclosures exhibit significant stock market reactions around news releases. We also noticed a significant decrease in effective spreads and an increase in trading volumes when good and bad news are released. Moreover, investors react more aggressively to bad news announcements suggesting that these news are more credible. Panel-data regression analyses were also used to examine both categories of voluntary earnings announcements: earning forecasts and quarterly earning announcements separately. They show that quarterly announcements enhance market liquidity by reducing bid-ask spreads and increasing trading volumes in the announcement window. However, earnings forecasts exacerbate information asymmetry before and after the announcement date. This result suggests that earning forecasts are subject to earning manipulation and less credible, then for the market.
Book Synopsis Firm-specific Information Environment and Analyst Forecast by : Wei Hsu (Ph.D.)
Download or read book Firm-specific Information Environment and Analyst Forecast written by Wei Hsu (Ph.D.) and published by . This book was released on 2019 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine how firm-specific private and public information affect analyst forecast revisions. I find that when managers easily beat (struggle to meet) the consensus forecasts in the previous quarter, financial analysts revise their earnings forecasts upward (downward). The revision magnitudes are higher when there is more private information. Similarly, I find that when managers provide upward (downward) earnings guidance, analysts revise their forecasts upward (downward) more when there is more private information. In contrast, the revision magnitudes are lower when there is more public information. Additionally, I find that the magnitudes of analysts' downward revisions increase with private information prior to the stock option grant dates. I attribute these results to the analysts' dependence on managers in gleaning relevant private information. The effect of private information is smaller for firms covered by star analysts, consistent with star analysts acting as sophisticated skeptics and being more confident in their forecasts than other analysts. Further, for well-governed firms, upward revisions for positive earnings surprises are smaller when there is more private information. This is consistent with stronger governance attenuating analysts' concerns about firms' earnings quality, which in turn increases their reliance on public earnings numbers and reduces their need to accommodate managers for private information. Finally, I find that private information is negatively associated with target price forecast accuracy, and positively associated with target price forecast optimism. These results suggest that greater information asymmetry adversely affects forecast accuracy and creates incentives for analysts to appease managers to access private information.
Book Synopsis The Information Effects of Analyst Activity at the Announcement of New Equity Issues by : Ranjan D'Mello
Download or read book The Information Effects of Analyst Activity at the Announcement of New Equity Issues written by Ranjan D'Mello and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Myers and Majluf (1984) argue that informational asymmetry between managers and investors can explain the negative stock returns around the announcement of new equity. Using analyst following and consensus as proxies for information asymmetry, we observe that announcement period returns are significantly more negative for firms followed by fewer analysts and whose forecasts exhibit less consensus. Our findings hold after controlling for firm size and growth opportunities. Finally, we find evidence suggesting that analyst activity also influences firms' long-term performance. We conclude that the information role of security analysts partially explains the negative stock returns surrounding the announcement of new equity.
Book Synopsis The Magnitude and Timing of Analyst Forecast Response to Quarterly Earnings Announcements by : Lise Newman Graham
Download or read book The Magnitude and Timing of Analyst Forecast Response to Quarterly Earnings Announcements written by Lise Newman Graham and published by . This book was released on 1993 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Influence of Forecast Dispersion on the Incremental Explanatory Power of Earnings, Book Value and Analyst Forecasts on Market Prices by : Daniel M. Bryan
Download or read book The Influence of Forecast Dispersion on the Incremental Explanatory Power of Earnings, Book Value and Analyst Forecasts on Market Prices written by Daniel M. Bryan and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the influence of analyst forecast dispersion on Ohlson's (2001) proposed linear information dynamics where consensus analyst forecasts are suggested as a proxy for other information. Our results indicate that Ohlson's proposed valuation model is most descriptive of market pricing when forecast dispersion, and hence information asymmetry is high. Our results also suggest that when analysts are confronted with high information asymmetry, they tend to focus less on accounting fundamentals and rely more on other non-accounting information, thus decreasing the correlation between the explanatory power of analyst forecasts and that of earnings and book value.
Book Synopsis Does Analyst Forecast Dispersion Represent Investors' Perceived Uncertainty Toward Earnings?. by :
Download or read book Does Analyst Forecast Dispersion Represent Investors' Perceived Uncertainty Toward Earnings?. written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The More We Know About Fundamentals, the Less We Agree on Price by : Lindsey A. Gallo
Download or read book The More We Know About Fundamentals, the Less We Agree on Price written by Lindsey A. Gallo and published by . This book was released on 2017 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can an earnings announcement decrease disagreement about fundamentals while simultaneously increasing disagreement about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher-order beliefs about price (i.e., beliefs regarding the opinions of other investors), even as a public announcement reduces disagreement about fundamentals. Using analyst forecast dispersion and implied volatility to proxy for differences of opinion about fundamentals and price, respectively, I find a positive association between the presence of speculative traders and both the likelihood and extent of divergence between changes in price disagreement and earnings disagreement around earnings announcements characterized by decreasing forecast dispersion. Further, using abnormal announcement period volume to measure disagreement about price, I continue to document a positive association between speculation and the extent of divergence. Taken together, these results suggest that higher-order beliefs play an important role in assessing the informativeness of earnings announcements.
Book Synopsis Investor and (Value Line) Analyst Underreaction to Information About Future Earnings by : Peter A. Brous
Download or read book Investor and (Value Line) Analyst Underreaction to Information About Future Earnings written by Peter A. Brous and published by . This book was released on 2001 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research suggests that financial analysts' earnings forecasts and stock prices underreact to earnings news. This paper provides evidence that analysts and investors correct this underreaction in response to the next earnings announcement and to other (non-earnings-surprise) information available between earnings announcements. Our evidence also suggests that analysts and investors underreact to information reflected in analysts' earnings forecast revisions and that non-earnings-surprise information helps correct this underreaction as well. Controlling for corrective non-earnings-surprise information significantly increases estimates of the degree to which analysts' forecasting behavior can explain drifts in returns following both earnings announcements and analysts' earnings forecast revisions.
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 Analysts' Forecast Dispersion and Stock Split Announcements by : Maria Chiara Iannino
Download or read book Analysts' Forecast Dispersion and Stock Split Announcements written by Maria Chiara Iannino and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts' forecasts after the announcement of the event. In particular, we observe an increase in forecasts' dispersion. We distinguish the two components of private and common information, and we find that asymmetric information significantly increases after the announcement of stock splits, while no change is evinced in uncertainty. While we do not observe any relationship between dispersion and future returns in our sample of stocks, we shed light on the literature on disagreement observing a negative relation between asymmetric information and both future returns and cumulative abnormal returns post-split. We conclude observing that stock splits have a stronger positive effect on future performance for shares with lower prior asymmetric information.
Book Synopsis Are Analysts' Forecasts Informative to the General Public? by : Oya Altinkilic
Download or read book Are Analysts' Forecasts Informative to the General Public? written by Oya Altinkilic and published by . This book was released on 2013 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contrary to the common view that analysts are important information agents, intraday returns evidence shows that announcements of analysts' forecast revisions release little new information, on average. Further cross-sectional evidence from returns around the announcements confirms that revisions are virtually information-free. Daily announcement returns used in the literature appear to overstate the analyst's role as information agent, because forecast announcements often are issued directly after reports of significant news about the followed firm. The evidence reveals a sequential relationship between events and news and forecast revisions indicative of analyst piggybacking, not prophecy. These new findings about the most sought-after analyst report broaden significantly the evidence indicating that price reactions to analysts' reports reveal little new information.
Book Synopsis Digital Age: Chances, Challenges and Future by : Svetlana Igorevna Ashmarina
Download or read book Digital Age: Chances, Challenges and Future written by Svetlana Igorevna Ashmarina and published by Springer. This book was released on 2019-07-27 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings book presents the outcomes of the VII International Scientific Conference “Digital Transformation of the Economy: Challenges, Trends, New Opportunities”, which took place in Samara, Russian Federation, on April 26–27, 2019. Organized by the Samara State University of Economics, the conference chiefly focused on digital economy issues, such as theoretical preconditions for the development of economic systems in the digital age and specific practical issues related to real-world business practice. Consisting of six chapters corresponding to the thematic areas of the conference, and written by scientists and practitioners from different regions of Russia, Kazakhstan, the Czech Republic and Germany, the book offers answers to the most pressing questions for today’s business community: - How is our world changing under the influence of digital technology? - Is sustainable economic development a myth or reality in the context of digitalization? - What threats and opportunities does digitalization bring? - What are realities and prospects of digitalization in the context of business practice? - How do we create a digital infrastructure for the economy? - How should the legal environment of the economy be transformed in the context of digitalization? The conclusions and recommendations presented are not recipes for solving the existing economic problems, but instead are intended for use in further research on transformation processes in the economy and in the development of state economic policies in various countries and regions.
Book Synopsis Experience, Information Asymmetry and Rational Forecast Deviation by : April M. Knill
Download or read book Experience, Information Asymmetry and Rational Forecast Deviation written by April M. Knill and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a stylized construct where analysts wish to minimize their forecasting error, we model forecasted earnings when firm characteristics and prior forecasts are public information but analysts can gain private information by appeasing management via deviating from the consensus. Combining endogenously acquired private information with consensus beliefs, analysts determine the optimal forecast deviation. We analytically show and empirically verify that the degree of rational deviation is influenced by analysts' experience and the degree of information asymmetry about the firm's prospects. An analyst's rational deviation increases with information asymmetry, but is concavely related with experience, i.e., deviation increases with analyst experience but actually decreases when an analyst is a novice or highly seasoned.
