Running without Moving? Corporate Disclosure and Annual Price Discovery in Bad versus Good Times

• 成果类型: Article
• 署名作者: Li, Edward Xuejun; Ramesh, K.; Shen, Min; Wu, Joanna Shuang
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); Rice University; George Mason University; University of Rochester
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2023-0504
• 发表日期: 2025
• 页码: 357-384
• 关键词: SELL-SIDE RESEARCH; information-content; institutional investors; voluntary disclosures; private information; analysts matter; Market reaction; AGENCY COSTS; earnings; news

摘要

Ball and Brown (1968) introduce a method to measure accounting earnings' contribution to price discovery toward the end-of-period price. Building on this method, we examine a comprehensive set of corporate disclosures and document a large gap in their contribution to annual price discovery between bad and good news years (40 percent versus over 60 percent), despite no such difference in stock return variance (partial R2). These patterns are consistent with managers proactively releasing good news to counteract negative news during bad news years. Our finding broadens the concept of news bundling from concurrent releases to intertemporal dynamics within an annual window. Voluntary press releases are a key driver of this disparity in price discovery, adding 3 percent in bad times while being the top contributor in good times (27 percent). Investor private information acquisition contributes to bridging the gap left by corporate disclosures in price discovery during bad news years.