Short Sale Constraints, Heterogeneous Interpretations, and Asymmetric Price Reactions to Earnings Announcements*
نویسندگان
چکیده
منابع مشابه
Buy on the Rumor: Disagreement, Short Sale Constraints, and Speculative Trading Before Earnings Announcements
We show that abnormal trading activity increases in the days before earnings announcements, especially for stocks with high dispersion of opinions. Consistent with the theory of Miller (1977) and other disagreement models, for stocks that are also short sale constrained, this increased speculative trading is dominated by net buyer-initiated trading activity. This evidence helps to explain why s...
متن کاملAsymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns
We show the cost of trading on negative news relative to positive news increases prior to earnings announcements. Our evidence suggests this asymmetry is due to financial intermediaries’ preference to reduce their exposure to risks associated with the announcements. The asymmetry creates a predictable upward bias in prices that increases pre-announcement and subsequently reverses, which confoun...
متن کاملThe Price Impact of Borrowing and Short-Sale Constraints
This study explores how trading constraints such as borrowing and short-sale constraints affect asset prices in the presence of asymmetric information. In a symmetric information environment, borrowing and short-sale constraints exacerbate downward and upward price movements, respectively. However, in the presence of information asymmetry, the price impact of each constraint is different. In an...
متن کاملAsymmetric Trading Costs Before Earnings Announcements: Implications for Price Discovery and Returns Online Appendix
In this online appendix, we provide supplementary results for the paper “Asymmetric Trading Costs Before Earnings Announcements: Implications for Price Discovery and Returns,” including additional evidence on the connection between asymmetric liquidity provision, abnormal order imbalances, and returns; alternative hypotheses; cross-sectional variation; time-series variation; and robustness test...
متن کاملOverconfidence , Short - Sale Constraints , and Bubbles ∗
Motivated by the behavior of internet stock prices in 1998-2000, we present a continuous time equilibrium model of bubbles where overconfidence generates agreements to disagree among agents about asset fundamentals. With a short-sale constraint, an asset owner has an option to sell the asset to other agents when they have more optimistic beliefs. This re-sale option has a recursive structure, t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1464181