Abstract

http://ssrn.com/abstract=891403
 
 

References (41)



 


 



Business Cycles, Firm Size and Market Reactions to News


Yiming Qian


University of Iowa - Department of Finance

Xiaoyun Yu


Indiana University - Kelley School of Business - Department of Finance; China Academy of Financial Research (CAFR)

July 30, 2009


Abstract:     
Previous studies document that market reactions to firm-level earnings news are stronger during good times than in bad times. We find that this result is driven by small firms. In fact, the market reaction to large firms' earnings news is weaker during economic expansions than contractions. We then investigate five possible explanations. We find that the size effect on time-varying market reaction to news cannot be explained by the distinction between value and growth stocks, the entry and exit of new firms into the economy, earnings management, or time-varying earnings persistence. There is some evidence consistent with time-varying investor attention, but investor attention does not appear to completely explain our results. Our findings, therefore, remain a puzzle.

Number of Pages in PDF File: 46

Keywords: market reaction to earnings news, business cycles, firm size, value stock and growth stock, earnings persistence, earnings management, investor attention

JEL Classification: G12, G14, G30, M41, M43, E32

working papers series





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Date posted: March 20, 2008 ; Last revised: May 14, 2014

Suggested Citation

Qian, Yiming and Yu, Xiaoyun, Business Cycles, Firm Size and Market Reactions to News (July 30, 2009). Available at SSRN: http://ssrn.com/abstract=891403 or http://dx.doi.org/10.2139/ssrn.891403

Contact Information

Yiming Qian (Contact Author)
University of Iowa - Department of Finance ( email )
S382 Pappajohn Building
Iowa City, IA 52242
United States
319-335-0934 (Phone)
319-335-3690 (Fax)
Xiaoyun Yu
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3521 (Phone)
812-855-5875 (Fax)

China Academy of Financial Research (CAFR)
1954 Huashan Road
Shanghai P.R.China, 200030
China

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