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Author : K. R. Subramanyam
Publisher :
ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (89 download)
Download or read book Stochastic Precision and Market Reactions to Earnings Announcements written by K. R. Subramanyam and published by . This book was released on 1993 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Duc Khuong Nguyen
Publisher : Palgrave Macmillan
ISBN 13 : 9780230277748
Total Pages : 256 pages
Book Rating : 4.2/5 (777 download)
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.
Author : Dennis Lasser
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Effect of Short Selling on Market Reactions to Earnings Announcements written by Dennis Lasser and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effect of the inherent demand implied by short interest by observing price reactions to earnings announcements based on the level of short interest. We find that for extreme good- and bad- news events, the inherent demand increases stock prices around the earnings announcement date, with the effect being stronger for good news relative to bad news. Specifically, the initial market reaction to an extreme positive earnings surprise is larger for firms with high levels of short interest. On the other hand, for an extreme negative earnings surprise event, the initial market reaction is smaller for heavily shorted firms. Furthermore, the initial rightward demand curve shift caused by the short sellers' reaction to an extreme good (bad) news event also results in a smaller (larger) post-earnings-announcement drift.
Author : John Shon
Publisher : FT Press
ISBN 13 : 0132615851
Total Pages : 225 pages
Book Rating : 4.1/5 (326 download)
Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 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.
Author : Benjamin Schmitt
Publisher : GRIN Verlag
ISBN 13 : 3656972419
Total Pages : 57 pages
Book Rating : 4.6/5 (569 download)
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.
Author : John Shon
Publisher : Pearson Education
ISBN 13 : 0132659751
Total Pages : 20 pages
Book Rating : 4.1/5 (326 download)
Download or read book Why Investors Should Trade Options Around Earnings Announcements written by John Shon and published by Pearson Education. This book was released on 2011-03-16 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element is an excerpt from Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions (9780137084920) by John Shon, Ph.D., and Ping Zhou, Ph.D. Available in print and digital formats. Two Line Description How to trade options before earning announcements — and profit whether the market raves or rages! Text Excerpt We’ve all seen perplexing market reactions to earnings announcements, but would you have guessed that this happens 40% of the time? Even if you predict the right direction of an earnings surprise, it’s still easy to lose money with a directional bet. So how can you profit from an earnings announcement? You use an options trading strategy called a “straddle.”
Author : Earl Kay Stice
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.E/5 ( download)
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:
Author : Umit G. Gurun
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Ping Zhou
Publisher : FT Press
ISBN 13 : 0132947404
Total Pages : 258 pages
Book Rating : 4.1/5 (329 download)
Download or read book Option Strategies for Earnings Announcements written by Ping Zhou and published by FT Press. This book was released on 2012-10-15 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
Author : Yunhao Chen
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (952 download)
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:
Author : Nils Carlson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (919 download)
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.
Author : Linda H. Chen
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Ki Choong Han
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.3/5 (129 download)
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:
Author : Ching-peng Chen
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (28 download)
Download or read book The Implications of Earnings Quality for Market Reactions to Annual Earnings Announcements written by Ching-peng Chen and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jinping Li
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (65 download)
Download or read book The Implications of Earnings Quality for Market Reactions to Annual Earnings Announcements written by Jinping Li and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ana Cristina Marques
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)
Download or read book Telling the Truth on 9-11 written by Ana Cristina Marques and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In earnings announcements, managers can strategically attribute poor performance to external events. This paper analyzes market reactions to earnings announcements in the wake of a major event: the September 11 attacks in New York City. We assess the empirical effect of external events on firms and industries, and classify negative external attributions as justified or unjustified. Our results indicate that truthful negative external attributions are met with a positive market response, suggesting it pays to tell the truth. Thus, we conclude that incremental information was voluntarily disclosed in corporate earnings announcements in the wake of the September 11 attacks.
Author : Mikhail Pevzner
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (13 download)
Download or read book When Firms Talk, Do Investors Listen? The Role of Trust in Stock Market Reactions to Corporate Earnings Announcements written by Mikhail Pevzner and published by . This book was released on 2015 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether the level of trust in a country affects investors' perception and utilization of information transmitted by firms through financial disclosure. Specifically, we investigate the effect of societal trust on investor reactions to corporate earnings announcements. We test two competing hypotheses: on the one hand, corporate earnings announcements are perceived as more credible by investors in more trusting societies and therefore elicit stronger investor reactions; on the other hand, societal trust mitigates outside investors' concern of moral hazard and reduces the value of corporate earnings announcements to them, thereby weakening their reactions to these events. We analyze the abnormal trading volume and abnormal stock return variance during the earnings announcement period in a large sample of firm-year observations across 25 countries, and find that both measures of investor reactions to earnings announcements are significantly higher in more trusting countries. We also find that the positive effect of societal trust on investor reactions to earnings news is more pronounced (1) when a country's investor protection and disclosure requirements are weaker, suggesting that trust acts as a substitute for formal institutions, (2) when a country's average education level is lower, consistent with less educated people relying more on trust in making economic decisions, and (3) when firm level information asymmetry is higher, supporting the notion that trust plays a more important role in poorer information environments.
