|
|
|
|
||||
|
||||
The Stock Price Effects of Changes in Dispersion of Investor Beliefs during Earnings AnnouncementsLynn L. ReesTexas A&M University - Department of Accounting Wayne B. ThomasUniversity of Oklahoma - Michael F. Price College of Business 2008 Abstract: Existing research provides competing theories as to how dispersion of investor beliefs might affect stock prices. We measure changes in dispersion of investor beliefs around earnings announcements using changes in the dispersion of individual analysts' forecasts. We find that the three-day market response to earnings announcements is negatively associated with changes in dispersion, consistent with the cost of capital hypothesis. The results hold after controlling for the current earnings surprise, forecast revisions of future earnings, and reported earnings relative to various earnings thresholds. Our study provides new insight about the information contained within earnings announcements that is incremental to the magnitude and timing of cash flows.
Number of Pages in PDF File: 51 Keywords: Dispersion of beliefs, cost of capital, equity call option, market friction, announcement returns JEL Classification: G14, G14, G29, M41 working papers seriesDate posted: February 27, 2008 ; Last revised: April 15, 2008Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.313 seconds
