Lazy Prices

• 成果类型: Article
• 署名作者: Cohen, Lauren; Malloy, Christopher; Quoc Nguyen
• 署名单位: Harvard University; National Bureau of Economic Research; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12885
• 发表日期: 2020
• 页码: 1371-1415
• 关键词: EARNINGS ANNOUNCEMENT DRIFT; information-content; REPORT READABILITY; Textual analysis; stock-prices; underreaction; FILINGS; search

摘要

Using the complete history of regular quarterly and annual filings by U.S. corporations, we show that changes to the language and construction of financial reports have strong implications for firms' future returns and operations. A portfolio that shorts changers and buys nonchangers earns up to 188 basis points per month in alpha (over 22% per year) in the future. Moreover, changes to 10-Ks predict future earnings, profitability, future news announcements, and even future firm-level bankruptcies. Unlike typical underreaction patterns, we find no announcement effect, suggesting that investors are inattentive to these simple changes across the universe of public firms.