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Regulation Fd And Market Behavior Around Earnings Announcements
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Book Synopsis Regulation Fd and Market Behavior Around Earnings Announcements by : Warren Bailey
Download or read book Regulation Fd and Market Behavior Around Earnings Announcements written by Warren Bailey and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the impact of Regulation Fair Disclosure (Reg FD) by examining market and analyst forecast behavior around earnings releases. After the implementation of Reg FD, stocks experience declines in event period return volatility, increases in event period trading volume due to differential informed judgment or difference in opinions, and increases in pre announcement forecast dispersion. Additional tests suggest increases in disagreement and differences of opinion among analysts after implementation of Reg FD. Thus, Reg FD is significant, though not necessarily beneficial. In particular, the regulation appears to impair the ability of the market to reach consensus.
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 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.
Book Synopsis Regulation Fd and the Financial Information Environment by : Frank Heflin
Download or read book Regulation Fd and the Financial Information Environment written by Frank Heflin and published by . This book was released on 2011 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether Regulation FD is associated with changes in the information environment prior to earnings announcements. After implementation of Regulation FD we find (a) lower return volatility around earnings announcements; (b) some improvement in the speed with which pre earnings announcement price converges to its post announcement level; (c) no reliable evidence of change in various aspects of analysts forecast bias, accuracy, and dispersion; and (d) an increase in the quantity of firms' voluntary forward looking disclosures. Overall, we are unable to find a deterioration in the information environment prior to earnings announcements associated with the implementation of Regulation FD.
Book Synopsis The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading by : Chiraphol N. Chiyachantana
Download or read book The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading written by Chiraphol N. Chiyachantana and published by . This book was released on 2013 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level of information asymmetry. Second, retail trading activity increases dramatically after earnings announcements, but there is a significant decline in institutional trading surrounding earnings announcements, particularly in the pre-announcement period. Last, the decline in information asymmetry around earnings announcements is closely associated with a lower participation rate in the pre-announcement period and more active trading of retail investors after earnings releases.
Book Synopsis Market Adaptation to Regulation Fair Disclosure by : Susana Yu
Download or read book Market Adaptation to Regulation Fair Disclosure written by Susana Yu and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our fundamental research question is in understanding ways in which the financial markets have adapted to Reg FD, and our particular focus is on how market participants use industry information embedded in firms' earnings announcements. We find that announcements of quarterly earnings made by companies that are the first in their industry to report earnings in a given quarter have significant effects on the stock returns of other firms in the same industry as well as on their own stock returns. We then test the implications of these findings for their effects on the information environment. Overall, our empirical findings support the conclusion that the implementation of Reg FD has led to increased use of industry information that is revealed in earnings announcements. This is one way, among others, in which analysts and other market participants have adapted to the requirements of Reg FD. In this case, they have made the adaptation by developing new uses of public information to enhance the informational environment.
Book Synopsis Earnings Guidance after Regulation Fd by : Ronen Feldman
Download or read book Earnings Guidance after Regulation Fd written by Ronen Feldman and published by . This book was released on 2008 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates market reactions to voluntary earnings guidance provided by managers after the enactment of Regulation FD, which requires companies to disseminate material news to all investors simultaneously. More managers now issue their guidance to the public instead of disclosure to a selective group of analysts, in conformity with Regulation FD. We examine a very large set of earnings guidance disclosures based on identification of these announcements using text mining techniques.Our results indicate that guidance provided with the disclosure of earnings is not associated with significant market reactions, but guidance provided between earnings releases is associated with significant negative reactions. We further show that market reactions are consistent with the trend implied by management even when it is in the form of qualitative disclosure. Finally, we show that market reactions are stronger (more negative, typically) for NASDAQ firms than NYSE or AMEX firms, larger firms, and when the disclosure involves revenues and not earnings.
Book Synopsis The Impact of Regulation Fair Disclosure on Investors' Prior Information Quality - Evidence from an Analysis of Changes in Trading Volume and Stock Price Reactions to Earnings Announcements by : Anwer S. Ahmed
Download or read book The Impact of Regulation Fair Disclosure on Investors' Prior Information Quality - Evidence from an Analysis of Changes in Trading Volume and Stock Price Reactions to Earnings Announcements written by Anwer S. Ahmed and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that Regulation Fair Disclosure has reduced differences in information quality between investors prior to quarterly earnings announcements consistent with the intent of the regulation. This reduction is driven by small firms and high technology firms, rather than the large firms targeted by the SEC, which suggests that selective disclosure among large firms may have been much more limited than what was presumed by proponents of FD. In addition, we document that FD has decreased the average information quality of investors in small and high technology firms in the period prior to an earnings announcement while having no lasting effect on other firms. Taken together these two results suggest that, for small and high technology firms, FD succeeded in eliminating selective disclosure but also lowered the average quality of information available about these firms.
Book Synopsis The Effect of Regulation Fd on Transient Institutional Investors' Trading Behavior by : Bin Ke
Download or read book The Effect of Regulation Fd on Transient Institutional Investors' Trading Behavior written by Bin Ke and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the impact of Reg FD on the trading behavior of transient institutional investors in the quarter prior to a bad news break in a string of consecutive earnings increases. Bad news breaks are defined as breaks that are by growth firms, preceded by longer strings of consecutive earnings increases, followed by longer strings of consecutive earnings decreases, and associated with larger declines in earnings. Pre Reg FD transient institutions have abnormal selling of stocks in the quarter immediately preceding a bad news break. This abnormal selling is confined to firms that held conference calls in the pre Reg FD period. However, in the post Reg FD period transient institutions do not exhibit similar abnormal selling of stocks in the quarter before a bad news break. Furthermore, after Reg FD transient institutions allocate less of their stock portfolios to conference call firms relative to non-conference call firms in the quarters prior to a bad news break. These results demonstrate that Reg FD has had an impact on management's selective disclosure behavior and significantly changed the trading behavior of transient institutions.
Book Synopsis The Increased Importance of Earnings Announcements After Regulation FD by : Ron Lazer
Download or read book The Increased Importance of Earnings Announcements After Regulation FD written by Ron Lazer and published by . This book was released on 2004 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Legislative Changes and Abnormal Trading Around Earnings Announcements by : Nick Barry
Download or read book Legislative Changes and Abnormal Trading Around Earnings Announcements written by Nick Barry and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using semi-annual earnings announcement data in New Zealand from 1998 to 2014, we find evidence of significant pre-announcement price run-ups prior to "good news" announcements, which is a prima facie evidence of abnormal trading. We then investigate the effectiveness of changing regulations. Our results suggest that tightening disclosure requirements and using a centralized regulatory authority successfully reduced abnormal trading activity, however introducing criminal offense to insider trading had no effect on reducing such activity, likely due to the increased burden of proof needed in prosecution. Further analysis using high frequency data also supports this finding. These findings have meaningful policy implications and raise important questions on financial markets regulation.
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 Selective Disclosure by : Juhyun Lee
Download or read book Selective Disclosure written by Juhyun Lee and published by . This book was released on 2010 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Survey on the Dissemination of Earnings Information by Large Firms by : Randy D. Jorgensen
Download or read book A Survey on the Dissemination of Earnings Information by Large Firms written by Randy D. Jorgensen and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies of quarterly earnings announcements by firms typically focus on the quality of the announcement or the financial impact of the announcement. Few studies focus on the method and timing of announcements of quarterly earnings, a question of increased interest since the enactment of the SEC's Regulation Fair Disclosure (Regulation FD). Regulation FD requires that material information about a company be disseminated widely and simultaneously to the public. A survey of the Fortune 500 firms to investigate how they communicate quarterly earnings data to the investment community both before and after Regulation FD indicates that most respondents have broadened their use of conference calls. Post-Regulation FD, a significant majority of Fortune 500 companies seek to reach a wider audience by broadcasting their calls via both telephone and Internet; telephone had been the primary medium before Regulation FD. While more firm members participate in conference calls, and rebroadcasts of the calls are more available outside the firm, access to the post-call question-and-answer period remains restricted.
Book Synopsis The Influence of Quarterly Earnings Announcements on Stock Market Behavior by : Ulrich Pelz
Download or read book The Influence of Quarterly Earnings Announcements on Stock Market Behavior written by Ulrich Pelz and published by . This book was released on 1976 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implied Volatility Functions by : Bernard Dumas
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Book Synopsis Public Disclosure of Corporate Earnings Forecasts by : Francis A. Lees
Download or read book Public Disclosure of Corporate Earnings Forecasts written by Francis A. Lees and published by . This book was released on 1981 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Investment Management by :
Download or read book Journal of Investment Management written by and published by . This book was released on 2005 with total page 888 pages. Available in PDF, EPUB and Kindle. Book excerpt:
