The option market's anticipation of information content in earnings announcements

• 成果类型: Article
• 署名作者: Billings, Mary Brooke; Jennings, Robert
• 署名单位: New York University; Indiana University System; Indiana University Bloomington
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-011-9156-5
• 发表日期: 2011
• 页码: 587-619
• 关键词: Price discovery; Ex-ante; returns; association

摘要

We exploit information in option prices in order to study whether the ex post responsiveness of stock prices to earnings information is reflected from an ex ante, firm- and quarter-specific perspective. Specifically, we develop a measure of anticipated information content (AIC) that isolates the forecasted magnitude of the stock market's reaction to earnings information. We find that the AIC positively correlates with the ex post magnitude of the stock market sensitivity to unexpected earnings, increases with earnings persistence, firm growth prospects, the richness of firms' information environments and the presence of (and changes in) sophisticated ownership, and decreases with discount rates. Our paper sheds light on the role that earnings information plays in shaping option-market behavior and offers researchers an option-market approach to studying the responsiveness of stock prices to earnings information.