The stock price effects of changes in dispersion of investor beliefs during earnings announcements

• 成果类型: Article
• 署名作者: Rees, Lynn; Thomas, Wayne
• 署名单位: University of Oklahoma System; University of Oklahoma - Norman; Texas A&M University System; Texas A&M University College Station; Mays Business School
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-008-9078-z
• 发表日期: 2010
• 页码: 1-31
• 关键词: temporal analysis; book value; equity; INFORMATION; management; uncertainty; valuation; forecasts; determinants; CONVERGENCE

摘要

Existing research provides competing theories about how dispersion of investor beliefs might affect stock prices. We measure changes in dispersion of investor beliefs around earnings announcements using changes in the dispersion of individual analysts' forecasts. We find that the 3-day market response to earnings announcements is negatively associated with changes in dispersion, consistent with the cost of capital hypothesis. The results hold after controlling for the current earnings surprise, forecast revisions of future earnings, and reported earnings relative to various earnings thresholds. Our study provides new insight about the information contained in earnings announcements that is incremental to the magnitude and timing of cash flows.