MARKET RESPONSE TO FINANCIAL REPORTS

• 成果类型: Article
• 署名作者: DEMSKI, JS; FELTHAM, GA
• 署名单位: University of British Columbia; Yale University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/0165-4101(94)90003-5
• 发表日期: 1994
• 关键词: RATIONAL-EXPECTATIONS ECONOMY; trading volume; earnings announcements; private information; efficient markets; price; aggregation

摘要

A two-date rational expectations model is analyzed. At the first date, traders can privately acquire a costly signal that provides imperfect information about a public report that will be issued at the second date. Equilibrium characterizations are provided for the fraction of traders that become informed and the informativeness of the first-date price, as well as the price change variance and the expected trading volume at the second date. Comparative statics identify how the above variables are influenced by changes in the information content of the public report, and in particular how market phenomena at the public release date are influenced by endogenous prior information acquisition and trading in response to the forthcoming public release.