Financial reporting complexity and investor underreaction to 10-K information

• 成果类型: Article
• 署名作者: You, Haifeng; Zhang, Xiao-jun
• 署名单位: University of California System; University of California Berkeley; Barclays
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-008-9083-2
• 发表日期: 2009
• 页码: 559-586
• 关键词: EARNINGS-ANNOUNCEMENT DRIFT; FORECAST REVISIONS; stock returns; overreaction; uncertainty; accruals; ANALYST; MODEL

摘要

We study the immediate and delayed market reaction to U.S. Securities and Exchange Commission (SEC) EDGAR 10-K filings. Unusual trading volumes and stock-price movements are documented during the days around the 10-K filing dates. The abnormal price movements are positively associated with future accounting profitability, indicating that 10-K reports contain useful information about future firm performance. In addition, investors' reaction to 10-K information seems sluggish, as demonstrated by the stock-price drift during the 12-month period after 10-K filing. We find that investors' underreaction tends to be stronger for firms with more complex 10-K reports.