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作者：DEMSKI, JS; FELTHAM, GA
作者单位：University of British Columbia; Yale University
摘要：A two-date rational expectations model is analyzed. At the first date, traders can privately acquire a costly signal that provides imperfect information about a public report that will be issued at the second date. Equilibrium characterizations are provided for the fraction of traders that become informed and the informativeness of the first-date price, as well as the price change variance and the expected trading volume at the second date. Comparative statics identify how the above variables ...
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作者：ATIASE, RK; BAMBER, LS
作者单位：University System of Georgia; University of Georgia; University of Texas System; University of Texas Austin
摘要：This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior. We find that the magnitude of trading volume reaction is an increasing function of both the magnitude of the associated price reaction and the level of predisclosure information asymmetry. These results are consistent with Kim and Verrecchia's (1991a) theoretical trading volume proposition.
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作者：KROSS, W; HA, GL; HEFLIN, F
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：This research investigates whether volume reactions to a public announcement are related to changes in the risk of securities (i.e., investors undertake portfolio rebalancing when the risk of their portfolio becomes misaligned with their respective risk preferences). Our results document that an average (40 percent) change in beta is associated with a 0.10 percent increase in the number of shares traded in a ten-day period around the earnings announcement. Although risk clientele effects are l...
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作者：BLACCONIERE, WG; PATTEN, DM
作者单位：Illinois State University
摘要：Union Carbide's chemical leak in Bhopal, India during December 1984 resulted in approximately 4,000 deaths and 200,000 injuries. This study examines the market reaction of chemical firms other than Union Carbide to this catastrophe. Evidence indicates that a significant negative intra-industry reaction occurred. However, firms with more extensive environmental disclosures in their financial report prior to the chemical leak experienced a less negative reaction than firms with less extensive di...
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作者：AHMED, AS
摘要：This study reexamines competition, cost structure, and growth opportunities effects on earnings response coefficients and extends this literature in several ways. First, it presents a more refined theoretical motivation for investigating competition and cost structure effects. Second, it introduces new economic factor proxies that confirm prior findings with respect to competition but differ from prior findings with respect to cost structure and growth opportunities. Overall the evidence sugge...
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作者：WRUCK, KH; JENSEN, MC
摘要：We analyze Total Quality Management (TQM) from an economic and organizational perspective. We find that TQM is a new organizing technology that is science-based, non-hierarchical, and non-market-oriented. It improves productivity by encouraging the use of science in decision-making and discouraging counter-productive defensive behavior. It also encourages effective creation and use of specific knowledge throughout the organization. Effective implementation of TQM generally requires major chang...
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作者：KALLAPUR, S
摘要：This paper tests Jensen's (1986a) free cash flow theory that managers overinvest retained earnings by undertaking negative-NPV projects. The test is based on the theory's implication that earnings response coefficients depend positively on payout ratios. It is supported by the data for a sample of 112 firms over the 1951-86 period. Another test finds that the returns on retained earnings are lower than proxies for the market's required rate of return, as implied by the free cash flow theory. H...
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作者：COLLINS, DW; KOTHARI, SP; SHANKEN, J; SLOAN, RG
作者单位：University of Iowa; University of Rochester; University of Pennsylvania
摘要：We assess earnings' lack of timeliness and value-irrelevant noise in earnings as explanations for the weak contemporaneous return-earnings association. Earnings lack timeliness because objectivity, verifiability, and conservatism conventions underlie the accounting measurement process. Noise in earnings is uncorrelated with returns in all periods. It likely gets introduced when estimates of future cash flows that differ from the market's estimates are included in earnings determined by account...
