Abstract

http://ssrn.com/abstract=2149259
 


 



Do Information Releases Increase or Decrease Information Asymmetry? New Evidence from Analyst Forecast Announcements


Dan Amiram


Columbia Business School - Accounting, Business Law & Taxation

Edward L. Owens


University of Rochester - Simon School of Business

Oded Rozenbaum


Columbia Business School - Accounting, Business Law & Taxation

November 29, 2012

Columbia Business School Research Paper No. 12/54

Abstract:     
Prior literature documents an announcement period increase in information asymmetry for earnings announcements and management forecasts. In sharp contrast, we predict and document a decrease in information asymmetry upon announcement of analyst forecasts. We find that this decrease is more pronounced for analyst forecasts with greater information content and when analysts exert higher effort, and is less pronounced after exogenous regulatory actions that diminished analysts’ ability to obtain private information. Our predictions and evidence demonstrate the general insight that the directional effect of an information release on announcement period information asymmetry depends on whether the information is unprocessed or processed, and on how the information interacts with prior information held by sophisticated and unsophisticated investors. These findings enhance our understanding of the effects of information intermediaries in capital markets.

Number of Pages in PDF File: 48

Keywords: Information Asymmetry, Public Information, Analysts

JEL Classification: G14, M40

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Date posted: September 20, 2012 ; Last revised: November 29, 2012

Suggested Citation

Amiram, Dan and Owens, Edward L. and Rozenbaum, Oded, Do Information Releases Increase or Decrease Information Asymmetry? New Evidence from Analyst Forecast Announcements (November 29, 2012). Columbia Business School Research Paper No. 12/54. Available at SSRN: http://ssrn.com/abstract=2149259 or http://dx.doi.org/10.2139/ssrn.2149259

Contact Information

Dan Amiram
Columbia Business School - Accounting, Business Law & Taxation ( email )
3022 Broadway
New York, NY 10027
United States

Edward L. Owens (Contact Author)
University of Rochester - Simon School of Business ( email )
Rochester, NY 14627
United States
585-275-1079 (Phone)
Oded Rozenbaum
Columbia Business School - Accounting, Business Law & Taxation ( email )
3022 Broadway
New York, NY 10027
United States
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