Do information releases increase or decrease information asymmetry? New evidence from analyst forecast announcements

• 成果类型: Article
• 署名作者: Amiram, Dan; Owens, Edward; Rozenbaum, Oded
• 署名单位: Columbia University; Emory University; George Washington University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2016.06.001
• 发表日期: 2016
• 关键词: BID-ASK SPREAD; earnings announcements; investor sophistication; DISCLOSURE POLICY; INTRADAY ANALYSIS; market liquidity; coverage; news; revisions; traders

摘要

Prior literature documents that both earnings announcements and management earnings forecasts increase information asymmetry at announcement. In contrast, we predict and document that analyst earnings forecasts decrease information asymmetry at announcement. As expected, this directional contrast is temporary, in that all three information release types lead to a decrease in information asymmetry following the short-window announcement period. Our evidence demonstrates that the direction of the effect of a public information release on announcement-period information asymmetry is determined by how the information contained in the release relates to prior information held by sophisticated and unsophisticated investors, which supports extant disclosure theory. (C) 2016 Elsevier B.V. All rights reserved.