Short Sales Constraints and Price Adjustment 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...
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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...
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Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. We propose a risk-based explanation for this phenomenon, in which investors use announcements to revise their expectations for non-announcing rms, but can only do so imperfectly. Consequently, the covariance between rm-speci c and market cash-ow news spikes around announcements, making announcers especially risky....
متن کاملEarnings Announcements and Competing Information
We investigate whether competing information, primarily analyst reports, reduces the usefulness of earnings announcements. Our examination of this issue has two parts. First, we examine whether investors’ use of analyst reports, as measured by the absolute abnormal returns to these reports, substitutes for their use of earnings announcements. We find that market reactions to earnings announceme...
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2395630