Overreaction to intra-industry information transfers?

• 成果类型: Article
• 署名作者: Thomas, Jacob; Zhang, Frank
• 署名单位: Yale University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2008.00294.x
• 发表日期: 2008
• 页码: 909-940
• 关键词: cross-autocorrelations; earnings announcements; SECURITY RETURNS; FULLY REFLECT; stock-prices; MARKET; investor; Timeliness

摘要

Prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry. We document a stock market anomaly associated with this phenomenon of intra-industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports. Apparently, the stock market overestimates the intra-industry implications of early announcers' earnings for late announcers' earnings, and that overestimation is corrected when late announcers disclose their earnings.