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Author : Balkrishna Radhakrishna
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.3/5 (91 download)
Download or read book Investor Heterogeneity and Earnings Announcements written by Balkrishna Radhakrishna and published by . This book was released on 1995 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anzhela Knyazeva
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (13 download)
Download or read book Investor Heterogeneity and Trading written by Anzhela Knyazeva and published by . This book was released on 2018 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of investor heterogeneity on trading. Institutional investors play a crucial role in the information environment of firms. We argue that heterogeneity in the information ability of institutional investors has a significant impact on trading around information releases. We propose novel measures of within-firm investor heterogeneity and find that investor heterogeneity increases abnormal trading volume around news, holding constant the average levels of investor sophistication. We also find larger spread reductions around announcements for firms with greater investor heterogeneity. The effect of investor heterogeneity on trading around news continues to hold after accounting for total institutional ownership, the presence certain types of institutional investors, and analyst coverage.
Author : Eric Holzman
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book Is All Disaggregation Good for Investors? Evidence From Earnings Announcements written by Eric Holzman and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior work suggests that greater earnings disaggregation in financial statements leads to favorable market outcomes. This perspective is based on a fundamental presumption that the disaggregation separates earnings components with heterogeneous characteristics. We hypothesize that the disaggregation of homogeneous earnings components is associated with greater investor opinion divergence and a less efficient market response to the earnings announcement. We estimate persistence regressions at the industry level and classify earnings components with significant differential persistence relative to sales as heterogeneous and components with insignificant differential persistence relative to sales as homogeneous. Consistent with our hypothesis, we find a significant positive relation between the level of homogeneous earnings disaggregation and investor disagreement around earnings announcements. We also find significantly greater post-earnings announcement drift after earnings announcements with greater homogeneous earnings disaggregation. This evidence is consistent with homogeneous earnings disaggregation hindering investors' ability to efficiently impound earnings information into price.
Author : Takeshi Yamada
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (318 download)
Download or read book Investor Heterogeneity, Trading Volume, and Asset Pricing written by Takeshi Yamada and published by . This book was released on 1993 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edgar Rodriguez Vazquez
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Heterogenous Earnings Growth Paths and the Risk Resolution Role of Earnings written by Edgar Rodriguez Vazquez and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I establish a link between the heterogeneity in firms’ expected earnings growth paths and theearnings announcement risk premium. My evidence suggests that variation in the expected timing of earnings growth conveys ex-ante information about variation in the expected resolution of uncertainty across stocks that shapes the cross-section of investors’ expected returns around earnings announcements. This return pattern arises cross-sectionally but also within-firm over time as each firm is expected to have its own earnings growth path. Moreover, this return pattern only arises on earnings announcement days and not in non-announcing days, consistent with variation in the earnings announcement risk premium and not another phenomenon. Connecting the risk resolution role of earnings to the magnitude of investors’ expected returns around earnings announcements provides support to accounting theory that establishes a link between information conveyed by financial reporting and risk.
Author : Jeffery S. Abarbanell
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Analysts' Forecasts as Proxies for Investor Beliefs in Empirical Research written by Jeffery S. Abarbanell and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jack Wayne Dorminey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (56 download)
Download or read book Fair-value Accounting of Derivatives and the Heterogeneity of Investor Beliefs written by Jack Wayne Dorminey and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample of 51 banking organizations, I examine the effect of the Statement of Financial Accounting Standard 133 on the belief heterogeneity of market participants and how this heterogeneity affects abnormal trading volume surrounding earnings announcements. SFAS 133 is the first standard to require that all derivatives be recognized at fair-value and that the fluctuations in derivative fair-values be reported in either net income or other comprehensive income. The behavior of derivative instruments and the fair-valuation and treatment prescribed by SFAS 133 are complex. Due to the underlying complexity of both derivatives and the accounting treatment prescribed by the SFAS 133 standard, I expect that investors may have differing interpretations of the newly provided information. My hypothesis is that the income effects arising from the fair-value accounting for derivatives (SFAS 133) are associated with an increase in differing beliefs among individuals. I find that the income effects of SFAS 133 are significantly and positively related to belief heterogeneity among investors. The net income and other comprehensive income effects of SFAS 133 are significantly and positively related to increasing levels of abnormal trading volume surrounding earnings announcements. Additionally, levels of SFAS 133 net income is positively and significantly associated with three measures of belief heterogeneity derived from analysts'forecasts. In an extended analysis I model the SFAS 133 income effects on abnormal volume using the three belief heterogeneity measures as the conduit. I find support for two of the three heterogeneity measures acting as a conduit for the effect of the SFAS 133 related income measures on abnormal volume. The results of this study indicate that, while the recognized fair-value of derivatives is value relevant to equity prices (Ahmed, Kilic, & Lobo, 2006), the income effects of the same financial standard causes heterogeneity in beliefs about the firm. This suggests that, at least in the case of derivative fair-values, there exists a trade-off between value relevance and the strength of consensus surrounding beliefs in the market.
Author : Fanglin Shen
Publisher :
ISBN 13 :
Total Pages : 111 pages
Book Rating : 4.:/5 (863 download)
Download or read book Responses in Divergence of Opinion to Earnings Announcement written by Fanglin Shen and published by . This book was released on 2013 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic asset pricing model is developed under the presumption of homogeneous beliefs; However, Miller (1977) puts forward heterogeneous beliefs along with other early studies. His appealing theoretical verbal model suggests that rather than reflecting the average expectation of all market participants, stock prices reflect the valuation set by the most optimistic investors due to the differences of opinion and short-sales constraints. He predicts the convergence of divergent opinions over time "primarily because the passage of time often resolves certain uncertainties about the future of a company" (Miller 1977, p. 1155). Among the prior empirical studies which provide mixed evidence of Miller hypothesis, the most recent study by Berkman et al. (2009) endeavors to document the negative relationship between excess returns and differences of opinion in a three-day window around earnings announcements when there are binding short-sales constraints. Yet to date there has been little empirical research investigating how divergent opinions affect asset prices of foreign stocks. This dissertation takes a step in this direction. Using the American Depositary Receipts sample, we adopt an event study methodology and use multivariate regressions to examine the host-market response in divergent opinions to the earnings announcements. Overlooked by prior literature, asymmetric reactions to good and bad earnings surprises are allowed in the study. Country-level factors from home market are introduced with firms-characteristic factors to capture the cross-sectional excess returns in the presence of belief dispersion and host-market short-sales constraints. Our sample contains 553 ADRs with 13378 firm-quarter observations from 52 countries. Results from regression analysis show that consistent with Miller hypothesis, quarterly earnings announcements indeed help reduce opinion divergence in ADRs by documenting the negative relation between differences of opinions and excess quarterly earnings announcement returns. Our findings are robust when controlling the financial leverage, illiquidity, analyst forecasts, post-earnings announcement drift and price momentum. Moreover, we find investors do process information asymmetrically based on good and bad earnings shocks when use TURN as the DIVOPN proxy. We observe the price divergence when good earnings are released. Non-news group and bad news group experience the same price convergence. However, we do not find the positive relation between host-market short-sales constraints and excess earnings announcement period returns, even conditioning on home-market short-sales restriction. Last, we include the enforcement of insider trading law, legal origin, investor protection, rating on accounting standard and short-selling feasibility from home market into our baseline model. These home-market country-level factors do not account for our findings.
Author : Julan Du
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Heterogeneity in Investor Confidence and Asset Market Under-And Overreaction written by Julan Du and published by . This book was released on 2002 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a behavioral finance model that may explain underreaction and overreaction in asset markets from the perspective of heterogeneous investors with different confidence levels. The model explains the occurrence of underreaction by the sequential entry of investors with different confidence levels in interpreting earnings shocks. When the average investor confidence level is high enough, owing to the stochastic nature of the fundamental value and the change in order flow and trading volume, it is likely for asset price to overshoot what the fundamental value warrants, leading to overreaction and negative autocorrelation of asset returns. It is shown that in repeated trading episodes with repeated earnings shocks, the average investor confidence level would be higher as a result of the biased self-attribution and confirmatory bias, causing overreaction more likely to occur. Also, the higher average confidence level of investors gauged by the later timing of winding up their asset holding positions also makes overreaction more likely to occur.
Author : John Heaton
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices written by John Heaton and published by . This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stavros Panageas
Publisher : Now Publishers
ISBN 13 : 9781680837506
Total Pages : 92 pages
Book Rating : 4.8/5 (375 download)
Download or read book The Implications of Heterogeneity and Inequality for Asset Pricing written by Stavros Panageas and published by Now Publishers. This book was released on 2020-11-23 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Implications of Heterogeneity and Inequality for Asset Pricing provides a unified framework to better understand this large literature and to reconcile several of the seemingly inconsistent results found in some seminal papers.
Author : Lu Xie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book The Signal Quality of Earnings Announcements written by Lu Xie and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the revealed preference of informed traders to infer the extent to which earnings announcements are informative of subsequent stock price responses. From 2011 to 2015, a cartel of sophisticated traders illegally obtained early access to firm press releases prior to publication and traded over 1,000 earnings announcements. I study their constrained profit maximization: which earnings announcements they chose to trade vs. which ones they forwent trading. Consistent with theory, these traders targeted more liquid earnings announcements with larger subsequent stock price movement. Despite earning large profits overall, the informed traders enjoyed only mixed success in identifying the biggest profit opportunities. Controlling for liquidity differences, only 31% of their trades were in the most extreme announcement period return deciles. I model the informed traders' tradeoff between liquidity and expected returns. From this model, I recover an average signal-to-noise ratio of 0.4. I further explore two potential economic sources of this noise: (i) ambiguous market expectations of earnings announcements and (ii) heterogeneous interpretations of earnings information by the marginal investor. Empirically, I document that the informed traders avoided noisier earnings announcements as measured by both sources of noise.
Author : Toomas Laarits
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Retail Habitat written by Toomas Laarits and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Retail investors trade hard-to-value stocks. Controlling for size, stocks with a high share of retail-initiated trades are composed of more intangible capital, have longer duration cash-flows and a higher likelihood of being mispriced. Consistent with retail-heavy stocks being harder to value, we document that such stocks are less sensitive to earnings news. As an additional consequence, the well-known earnings announcer risk premium is limited to low retail stocks only. Further, high-retail stocks are more sensitive to retail order flow and are especially expensive to trade around earnings announcements. Overall, the findings document a new dimension of investor heterogeneity and suggest the comparative advantage of retail in holding hard-to-value stocks.
Author : Leonard Zacks
Publisher : John Wiley & Sons
ISBN 13 : 1118127765
Total Pages : 352 pages
Book Rating : 4.1/5 (181 download)
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.
Author : Andreas Fagereng
Publisher : International Monetary Fund
ISBN 13 : 1484370066
Total Pages : 69 pages
Book Rating : 4.4/5 (843 download)
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Author : Baruch Lev
Publisher : John Wiley & Sons
ISBN 13 : 1119191084
Total Pages : 268 pages
Book Rating : 4.1/5 (191 download)
Download or read book The End of Accounting and the Path Forward for Investors and Managers written by Baruch Lev and published by John Wiley & Sons. This book was released on 2016-06-14 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative new valuation framework with truly useful economic indicators The End of Accounting and the Path Forward for Investors and Managers shows how the ubiquitous financial reports have become useless in capital market decisions and lays out an actionable alternative. Based on a comprehensive, large-sample empirical analysis, this book reports financial documents' continuous deterioration in relevance to investors' decisions. An enlightening discussion details the reasons why accounting is losing relevance in today's market, backed by numerous examples with real-world impact. Beyond simply identifying the problem, this report offers a solution—the Value Creation Report—and demonstrates its utility in key industries. New indicators focus on strategy and execution to identify and evaluate a company's true value-creating resources for a more up-to-date approach to critical investment decision-making. While entire industries have come to rely on financial reports for vital information, these documents are flawed and insufficient when it comes to the way investors and lenders work in the current economic climate. This book demonstrates an alternative, giving you a new framework for more informed decision making. Discover a new, comprehensive system of economic indicators Focus on strategic, value-creating resources in company valuation Learn how traditional financial documents are quickly losing their utility Find a path forward with actionable, up-to-date information Major corporate decisions, such as restructuring and M&A, are predicated on financial indicators of profitability and asset/liabilities values. These documents move mountains, so what happens if they're based on faulty indicators that fail to show the true value of the company? The End of Accounting and the Path Forward for Investors and Managers shows you the reality and offers a new blueprint for more accurate valuation.
Author : Vilas Gaikar
Publisher : Springer Nature
ISBN 13 : 9464632720
Total Pages : 337 pages
Book Rating : 4.4/5 (646 download)
Download or read book Proceedings of the 2023 3rd International Conference on Financial Management and Economic Transition (FMET 2023) written by Vilas Gaikar and published by Springer Nature. This book was released on 2023-11-13 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2023 3rd International Conference on Financial Management and Economic Transition (FMET 2023) will be held on August 18-20, 2023 in Changsha, China. At present, the global economic situation is complex, the recovery prospects are not clear, and the economic growth rate is slowing down, which is at the key stage of transforming the economic development mode and industrial transformation and upgrading. With the transformation of the mode of economic development, various problems and contradictions coexist, and the problems of imbalance, uncoordinated and unsustainable development are prominent; The contradiction between the downward pressure on economic growth and the relative overcapacity has intensified; The problems of rising production and operation costs and insufficient innovation capacity coexist; The contradiction between the slow growth of fiscal revenue and the increase of government rigid expenditure is prominent; The irrational industrial structure, the weak agricultural foundation, the increasingly acute contradiction between economic development and resources and environment, the large gap between urban and rural areas, regional development and income distribution of residents, and the obvious increase of social contradictions, which are related to the vital interests of the public; The economy and society are facing a series of opportunities and challenges. Therefore, it is expected to clarify the obstacles and obstacles to sustainable development and launch measures to deepen reform. Macroeconomic growth and its development are highly correlated with the development of enterprises at the microeconomic level. Since the outbreak of the international financial crisis, the economy, especially the real economy, has faced the current situation of declining growth rate, weak demand, rising costs and shrinking profits. The essence behind this phenomenon is the difficult problem of structural adjustment and transformation of development mode. Now, we need to transform to the path of refined and scientific management, and achieve higher labor efficiency output with less resource input and lower capital consumption, Through numerous micro-economies, we have achieved a wide-ranging transformation of growth, thus promoting the transformation of the national economy. Among them, financial management is of great significance. We sincerely invite you to participate in FMET 2023 to discuss the relationship and development direction between economic transformation and financial upgrading.
