Market reaction to earnings news: A unified test of information risk and transaction costs

• 成果类型: Article
• 署名作者: Zhang, Qi; Cai, Charlie X.; Keasey, Kevin
• 署名单位: University of Leeds; University of Bradford
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2013.08.002
• 发表日期: 2013
• 关键词: TRADING VOLUME; PREDISCLOSURE INFORMATION; ACCOUNTING EARNINGS; ANNOUNCEMENT DRIFT; firm size; liquidity; price; returns; momentum; futures

摘要

We examine how information risk and transaction costs influence the initial and subsequent market reaction to earnings news. We find that the initial market reaction is higher per unit of earnings surprise for higher information risk firms (information content effect). Furthermore, it is information risk that induces transaction costs that limit the initial market reaction and lead to higher subsequent drift (transaction costs effect). Information risk does not have an effect on drift beyond that achieved through transaction costs. Our findings highlight the importance of understanding the linkage between information risk and transaction costs in price discovery around public disclosure. (C) 2013 Elsevier B.V. All rights reserved.