Passive Ownership and Price Informativeness

• 成果类型: Article
• 署名作者: Sammon, Marco
• 署名单位: Harvard University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.00836
• 发表日期: 2025
• 关键词: Passive ownership; Price informativeness

摘要

I show that passive ownership negatively affects the degree to which stock prices anticipate earnings announcements. Estimates across several research designs imply that the rise in passive ownership over the last 30 years has caused the amount of information incorporated into prices ahead of earnings announcements to decline by approximately one-fourth of its whole-sample mean and one-sixth of its whole-sample standard deviation.