The structure of information release and the factor structure of returns

• 成果类型: Article
• 署名作者: Gilbert, Thomas; Hrdlicka, Christopher; Kamara, Avraham
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.01.007
• 发表日期: 2018
• 页码: 546-566
• 关键词: EARNINGS ANNOUNCEMENTS; CAPM; factor models; SMB; HML

摘要

We model how firms releasing information on different dates causes the CAPM to fail, requiring an additional factor based on the information structure to price assets. We exemplify this mechanism's empirical relevance using quarterly earnings announcements, which cluster across months along size and book-to-market. Seventy percent of the alpha reduction from including SMB and HML occurs in the four main earnings announcement months. The information structure factor accounts for all of SMB and HML's seasonal alpha reduction and one third of their overall alpha reduction. Controlling for size and book-to market, exposures to SMB and HML vary with firms' earnings announcement month. (C) 2018 Elsevier B.V. All rights reserved.