The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Jing Zhou - One of the best experts on this subject based on the ideXlab platform.
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does voluntary balance sheet disclosure mitigate post Earnings Announcement drift
Journal of Accounting and Public Policy, 2021Co-Authors: Charles Hsu, Qinglu Jin, Jing ZhouAbstract:Abstract Theory suggests that balance sheet information such as total assets, total equity, or total liabilities complements Earnings information in helping investors assess a firm’s profitability and estimate Earnings growth. The voluntary disclosure of balance sheet information at Earnings Announcement could help investors gather and process this information at a lower cost. We therefore predict that voluntary balance sheet disclosure at the time of an Earnings Announcement helps investors promptly understand the implication of current Earnings news for future Earnings and subsequently reduces post-Earnings-Announcement drift (PEAD). Consistent with these predictions, our results show that when firms provide voluntary balance sheet disclosures, the Earnings response coefficient in the event window is significantly higher and the corresponding PEAD is significantly lower. We further find that the impact of voluntary balance sheet disclosure on PEAD is more pronounced when the magnitude of balance sheet value surprise is larger, when balance sheet value is more informative about future Earnings, when Earnings uncertainty is higher, or when information cost is higher, consistent with our conjectures that helping investors to better understand future Earnings performance and lowering information costs are key mechanisms underlying the effect of voluntary balance sheet disclosure on PEAD.
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does voluntary balance sheet disclosure mitigate post Earnings Announcement drift
Social Science Research Network, 2017Co-Authors: Charles Hsu, Qinglu Jin, Jing ZhouAbstract:Theory suggests that balance sheet information helps investors assess a firm’s profitability and estimate Earnings growth. We therefore predict that voluntary balance sheet disclosure at the time of an Earnings Announcement helps investors promptly understand the implication of current Earnings news for future Earnings and subsequently reduces post-Earnings-Announcement drift (PEAD). Consistent with these predictions, our results show that when firms provide voluntary balance sheet disclosures, the Earnings response coefficient in the event window is significantly higher and the corresponding PEAD is significantly lower. We further find that the impact of voluntary balance sheet disclosure on PEAD is more pronounced when book value is more informative or when Earnings uncertainty is higher, consistent with our conjecture that helping investors to better understand future Earnings performance is a key mechanism underlying the effect of balance sheet disclosure on PEAD.
Nikolay Laptev - One of the best experts on this subject based on the ideXlab platform.
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Earnings Announcement promotions a yahoo finance field experiment
Journal of Accounting and Economics, 2018Co-Authors: Alastair Lawrence, James P Ryans, Estelle Sun, Nikolay LaptevAbstract:Abstract This study presents a field experiment in which media articles for a random sample of firms with Earnings Announcements are promoted to a one percent subset of Yahoo Finance users. Promoted firms have higher abnormal returns and some evidence of lower bid-ask spreads on the day of the Earnings Announcement. These results are more pronounced for less visible firms, negative Earnings news, and on days with fewer promoted firms. These findings suggest that investor attention affects the pricing of Earnings and that retail investors buy stocks that catch their attention, in a setting where attention is randomly assigned.
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Earnings Announcement promotions a yahoo finance field experiment
Social Science Research Network, 2018Co-Authors: Alastair Lawrence, James P Ryans, Estelle Sun, Nikolay LaptevAbstract:This study presents a field experiment we conducted in which media articles for a random sample of firms with Earnings Announcements are promoted to a one percent subset of Yahoo Finance users. The promoted firms have similar fundamental and Earnings-news characteristics as control firms, yet we find that promoted firms have higher abnormal returns on the day of the Earnings Announcement, and some evidence of lower bid-ask spreads. Moreover, these results are more pronounced for less visible firms, negative Earnings news, and on days with fewer promoted firms. We do not find evidence of significant increases in trading volume, or of information acquisition by users subject to the promotion. These findings suggest that investor attention affects the pricing of Earnings and that retail investors buy stocks that catch their attention, in a setting where attention is randomly assigned.
Charles Hsu - One of the best experts on this subject based on the ideXlab platform.
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does voluntary balance sheet disclosure mitigate post Earnings Announcement drift
Journal of Accounting and Public Policy, 2021Co-Authors: Charles Hsu, Qinglu Jin, Jing ZhouAbstract:Abstract Theory suggests that balance sheet information such as total assets, total equity, or total liabilities complements Earnings information in helping investors assess a firm’s profitability and estimate Earnings growth. The voluntary disclosure of balance sheet information at Earnings Announcement could help investors gather and process this information at a lower cost. We therefore predict that voluntary balance sheet disclosure at the time of an Earnings Announcement helps investors promptly understand the implication of current Earnings news for future Earnings and subsequently reduces post-Earnings-Announcement drift (PEAD). Consistent with these predictions, our results show that when firms provide voluntary balance sheet disclosures, the Earnings response coefficient in the event window is significantly higher and the corresponding PEAD is significantly lower. We further find that the impact of voluntary balance sheet disclosure on PEAD is more pronounced when the magnitude of balance sheet value surprise is larger, when balance sheet value is more informative about future Earnings, when Earnings uncertainty is higher, or when information cost is higher, consistent with our conjectures that helping investors to better understand future Earnings performance and lowering information costs are key mechanisms underlying the effect of voluntary balance sheet disclosure on PEAD.
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does voluntary balance sheet disclosure mitigate post Earnings Announcement drift
Social Science Research Network, 2017Co-Authors: Charles Hsu, Qinglu Jin, Jing ZhouAbstract:Theory suggests that balance sheet information helps investors assess a firm’s profitability and estimate Earnings growth. We therefore predict that voluntary balance sheet disclosure at the time of an Earnings Announcement helps investors promptly understand the implication of current Earnings news for future Earnings and subsequently reduces post-Earnings-Announcement drift (PEAD). Consistent with these predictions, our results show that when firms provide voluntary balance sheet disclosures, the Earnings response coefficient in the event window is significantly higher and the corresponding PEAD is significantly lower. We further find that the impact of voluntary balance sheet disclosure on PEAD is more pronounced when book value is more informative or when Earnings uncertainty is higher, consistent with our conjecture that helping investors to better understand future Earnings performance is a key mechanism underlying the effect of balance sheet disclosure on PEAD.
Richard R Mendenhall - One of the best experts on this subject based on the ideXlab platform.
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the high volume return premium and post Earnings Announcement drift
Social Science Research Network, 2007Co-Authors: Alina Lerman, Joshua Livnat, Richard R MendenhallAbstract:This paper investigates the relationship among trading volume around Earnings Announcements, Earnings forecast errors, and subsequent returns. Prior research finds a positive relation between Earnings Announcement period trading volume and subsequent returns (the high-volume return premium) and between Earnings forecast errors and subsequent returns (post-Earnings Announcement drift). We find that for a sample of firms followed by analysts these effects are complementary, i.e., each retains incremental ability to predict post-Earnings Announcement returns. Prior research provides two competing explanations for the high-volume return premium: changes in firm visibility versus differences in risk. We provide evidence that seems to rule out risk-based explanations while supporting the visibility hypothesis.
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comparing the post Earnings Announcement drift for surprises calculated from analyst and time series forecasts
Journal of Accounting Research, 2006Co-Authors: Joshua Livnat, Richard R MendenhallAbstract:Post–Earnings Announcement drift is the tendency for a stock's cumulative abnormal returns to drift in the direction of an Earnings surprise for several weeks following an Earnings Announcement. We show that the drift is significantly larger when defining the Earnings surprise using analysts' forecasts and actual Earnings from I/B/E/S than when using a time series model based on Compustat Earnings data. Neither Compustat's policy of restating Earnings nor the inclusion of “special items” in reported Earnings contribute significantly to the disparity in drift magnitudes. Rather, our results suggest that this disparity is attributable to differences between analyst forecasts and those of time-series models—or at least to factors correlated with these differences. Further, we document that analyst forecasts lead to return patterns around future Earnings Announcements that differ from those observed when using time-series models, suggesting that the two types of surprises may capture somewhat different forms of mispricing.
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arbitrage risk and post Earnings Announcement drift
The Journal of Business, 2004Co-Authors: Richard R MendenhallAbstract:This study examines whether the magnitude of post‐Earnings‐Announcement drift is related to the risk faced by arbitrageurs, who may view the anomaly as a trading opportunity. Consistent with this hypothesis, the magnitude of the drift is strongly related to the arbitrage risk measure developed by Wurgler and Zhuravskaya (2002). The effect of arbitrage risk is statistically and economically significant in a range of specifications. The results support the view of post‐Earnings‐Announcement drift as an underreaction to Earnings information.
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arbitrage risk and post Earnings Announcement drift
Social Science Research Network, 2002Co-Authors: Richard R MendenhallAbstract:This study examines whether the magnitude of post-Earnings-Announcement drift is related to the risk faced by arbitrageurs who may view the anomaly as a trading opportunity. Consistent with this hypothesis, the magnitude of the drift is strongly related to the arbitrage risk measure developed by Wurgler and Zhuravskaya (2002). The effect of arbitrage risk is statistically and economically significant under a wide range of specifications. The results suggest that post-Earnings-Announcement drift represents an underreaction to Earnings information and that arbitrage risk impedes arbitrageurs from eliminating it.
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the relation between the value line enigma and post Earnings Announcement drift
Journal of Financial Economics, 1992Co-Authors: John Affleckgraves, Richard R MendenhallAbstract:Abstract We investigate the relation between the Value Line enigma and post-Earnings-Announcement drift. The ability of Value Line's ‘timeliness’ ranks to predict future abnormal returns is well-documented. However, we show that most rank changes occur within eight trading days of an Earnings Announcement. Once we control for post-Earnings-Announcement drift, differences in abnormal returns across Value Line timeliness ranks are no longer significant. Moreover, we find that timeliness ranks have no predictive power for firms with small Earnings ‘surprises’. We conclude that the Value Line enigma is a manifestation of post-Earnings-Announcement drift.
Alastair Lawrence - One of the best experts on this subject based on the ideXlab platform.
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explaining firms Earnings Announcement stock returns using factset and i b e s data feeds
Review of Accounting Studies, 2021Co-Authors: John R M Hand, Alastair Lawrence, Henry Laurion, Nicholas G MartinAbstract:Since 2001, the number of financial statement line items forecasted by analysts and managers that I/B/E/S and FactSet capture in their data feeds has soared. Using this new data, we find that 13 item surprises—11 income statement-based and 2 cash flow statement-based analyst and management guidance surprises—reliably explain firms’ signed Earnings Announcement returns. No balance sheet or expense surprises are significant. The most important surprises are (i) one-quarter-ahead sales guidance surprise, (ii) analyst sales surprise, (iii) annual Street Earnings guidance surprise, and (iv) analyst Street Earnings surprise. We also find that the adjusted R2s of our multivariate regressions are three times higher than the adjusted R2s of univariate Street Earnings surprise regressions, and that the four most important surprises account for approximately half of this increase in explanatory power.
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explaining firms signed Earnings Announcement stock returns using factset and i b e s data feeds
Social Science Research Network, 2019Co-Authors: John R M Hand, Alastair Lawrence, Henry Laurion, Nicholas MartinAbstract:Since 2001, the number of financial statement line items forecasted by analysts and managers that I/B/E/S and FactSet capture in their data feeds has soared. Using this new data, we find that 13 item surprises—11 income statement-based and 2 cash flow statement-based analyst and management guidance surprises—reliably explain firms’ signed Earnings Announcement returns. No balance sheet or expense surprises are significant. The most important surprises are (i) one-quarter-ahead sales guidance surprise, (ii) analyst sales surprise, (iii) annual Street Earnings guidance surprise, and (iv) analyst Street Earnings surprise. We also find that the adjusted R2s of our multivariate regressions are three times higher than the adjusted R2s of univariate Street Earnings surprise regressions, and that the four most important surprises account for approximately half of this increase in explanatory power.
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Earnings Announcement promotions a yahoo finance field experiment
Journal of Accounting and Economics, 2018Co-Authors: Alastair Lawrence, James P Ryans, Estelle Sun, Nikolay LaptevAbstract:Abstract This study presents a field experiment in which media articles for a random sample of firms with Earnings Announcements are promoted to a one percent subset of Yahoo Finance users. Promoted firms have higher abnormal returns and some evidence of lower bid-ask spreads on the day of the Earnings Announcement. These results are more pronounced for less visible firms, negative Earnings news, and on days with fewer promoted firms. These findings suggest that investor attention affects the pricing of Earnings and that retail investors buy stocks that catch their attention, in a setting where attention is randomly assigned.
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Earnings Announcement promotions a yahoo finance field experiment
Social Science Research Network, 2018Co-Authors: Alastair Lawrence, James P Ryans, Estelle Sun, Nikolay LaptevAbstract:This study presents a field experiment we conducted in which media articles for a random sample of firms with Earnings Announcements are promoted to a one percent subset of Yahoo Finance users. The promoted firms have similar fundamental and Earnings-news characteristics as control firms, yet we find that promoted firms have higher abnormal returns on the day of the Earnings Announcement, and some evidence of lower bid-ask spreads. Moreover, these results are more pronounced for less visible firms, negative Earnings news, and on days with fewer promoted firms. We do not find evidence of significant increases in trading volume, or of information acquisition by users subject to the promotion. These findings suggest that investor attention affects the pricing of Earnings and that retail investors buy stocks that catch their attention, in a setting where attention is randomly assigned.
