Is openness penalized? Stock returns around earnings warnings

• 成果类型: Article
• 署名作者: Tucker, Jennifer W.
• 署名单位: State University System of Florida; University of Florida
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.2007.82.4.1055
• 发表日期: 2007
• 页码: 1055-1087
• 关键词: economic consequences; MARKET-EFFICIENCY; capital-market; selection bias; INFORMATION; disclosure; RISK; LITIGATION; underreaction; specification

摘要

Prior research finds that firms warning investors of an earnings shortfall experience lower returns than non-warning firms with similar risks and earnings news. Openness thus appears to be penalized by investors. Yet, this finding may be due to a self-selection bias that occurs when firms with a larger amount of unfavorable non-earnings news (other bad news) are more likely to warn. In this paper I use a Heckman selection model to infer the amount of other bad news and document that, on average, warning firms have a larger amount of other bad news than non-warning firms. After controlling for this effect, I find that warning firms' returns remain lower than those of non-warning firms in a short-term window ending five days after earnings announcement. When this window is extended by three months, however, warning and non-warning firms exhibit similar returns. My evidence suggests that openness is ultimately not penalized by investors.