The effect of earnings surprises on information asymmetry

• 成果类型: Article
• 署名作者: Brown, Stephen; Hillegeist, Stephen A.; Lo, Kin
• 署名单位: University of British Columbia; University System of Maryland; University of Maryland College Park; INSEAD Business School
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2008.12.002
• 发表日期: 2009
• 关键词: price; MARKET; OWNERSHIP; BEHAVIOR; breadth; IMPACT; TRADE; LEVEL; MODEL; size

摘要

We examine the effect of earnings surprises on changes in information asymmetry. We hypothesize and find that asymmetry is lower (higher) in the quarter following positive (negative) earnings surprises compared to firms that meet the consensus analyst earnings forecast. The relations between earnings surprises and information asymmetry are stronger when the surprises are more likely to capture investors' attention. Examining the source of these changes, we show that decreased information search activities is the most important factor for asymmetry declining after positive Surprises; for negative Surprises, decreased uninformed trading plays a dominant role increasing asymmetry. Crown Copyright (C) 2008 Published by Elsevier B.V. All rights reserved.