Earnings Announcement Premium and Information Ambiguity

Authors

  • hossein kazemi Assistant Professor, Department of Accounting, Qazvin Branch, Islamic Azad University, Qazvin, Iran
  • Javad Rezazadeh Associate Professor, Department of Accounting, Tarbiat Modares University, Tehran, Iran
Abstract:

In today's investment world there is emphasis on the role of accounting information. Behavioral factors always play an important role in financial markets. All investors are not rational and their demand for riskiness of assets is influenced by their beliefs and feelings. Optimism, pessimism, self-confidence, ambiguity-aversion, etc. help changing the manner of decision-making process over time. So, this study aimed at investigating the role of accounting information on investors’ ambiguity-aversion in economic environment of Iran. For this purpose, information about 120 companies listed in Tehran Stock Exchange during the period 2013 to 2017 was collected and analyzed. Multivariate regression models were used to analyze the data. The results show that earnings announcement premium for companies with high level of ambiguity, is more than for companies with low level of ambiguity. As a result, investors respond asymmetrically to good and bad news, and this asymmetry decreases with increasing of ambiguity level.

Upgrade to premium to download articles

Sign up to access the full text

Already have an account?login

similar resources

Post - Earnings Announcement Drift ?

The predictability of abnormal returns based on information contained in past earnings announcements is a statistically and economically significant anomaly. Neither is it illusory, nor is it an artefact of the experimental design. It may be a result of market inefficiency. Our results cannot rule out this explanation. However, we find that the magnitude of the post-earnings announcement effect...

full text

Risk Preferences and The Macro Announcement Premium

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and virtually 100% of it during the later period of 1997-2014, where more announcement data are available. We pr...

full text

Theories of Earnings - Announcement Timing

Recent empirical research has found that when a firm releases its earnings report earlier than expected, its stock price rises, on average, while if the report is late, its stock price declines. The analysis here focuses on two alternative explanations for these findings, each based on the premise that some firms with unfavorable earnings increase their reported income through earnings manageme...

full text

Earnings growth volatility and the value premium

The volatility of future earnings growth is a significant determinant of Fama and French’s Value premium. We use a stochastic earnings model of firm valuation to establish a formal link between the volatility of future earnings growth and the value premium. Furthermore we empirically confirm this relationship at the macro-level.

full text

Twitter sentiment around the Earnings Announcement events

We investigate the relationship between social media, Twitter in particular, and stock market. We provide an in-depth analysis of the Twitter volume and sentiment about the 30 companies in the Dow Jones Industrial Average index, over a period of three years. We focus on Earnings Announcements and show that there is a considerable difference with respect to when the announcements are made: befor...

full text

Earnings Announcement Premia and the Limits to Arbitrage

We reexamine the existence of earnings announcement-day premia and find that they persist beyond the sample period of earlier studies, over different disclosure environments and remain robust to the refinement of using the expected announcement day rather than the actual announcement day. We provide evidence that the premia are reduced in the presence of earnings pre-announcements. We document ...

full text

My Resources

Save resource for easier access later

Save to my library Already added to my library

{@ msg_add @}


Journal title

volume 5  issue 18

pages  153- 165

publication date 2020-09-01

By following a journal you will be notified via email when a new issue of this journal is published.

Hosted on Doprax cloud platform doprax.com

copyright © 2015-2023