Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements

• 成果类型: Article
• 署名作者: Berkman, Henk; Dimitrov, Valentin; Jain, Prem C.; Koch, Paul D.; Tice, Sheri
• 署名单位: Georgetown University; Massey University; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; University of Kansas; Tulane University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.04.009
• 发表日期: 2009
• 页码: 376-399
• 关键词: Differences of opinion; earnings announcements; INSTITUTIONAL OWNERSHIP; Limits to arbitrage; market efficiency; Short-sales constraints

摘要

Miller [1977. Risk, uncertainty, and divergence of opinion. journal of Finance 32, 1151-1168] hypothesizes that prices of stocks subject to high differences of opinion and short-sales constraints are biased upward. We expect earnings announcements to reduce differences of opinion among investors, and consequently, these announcements should reduce overvaluation. Using five distinct proxies for differences of opinion, we find that high differences of opinion stocks earn significantly lower returns around earnings announcements than low differences of opinion stocks. In addition, the returns on high differences of opinion stocks are more negative within the subsample of stocks that are most difficult for investors to sell short. These results are robust when we control for the size effect and the market-to-book effect and when we examine alternative explanations such as financial leverage, earnings announcement premium, post-earnings announcement drift, return momentum, and potential biases in analysts' forecasts. Also consistent with Miller's theory, we find that stocks subject to high differences of opinion and more binding short-sales constraints have a price run-up just prior to earnings announcements that is followed by an even larger decline after the announcements. (C) 2009 Elsevier B.V. All rights reserved.