Do market prices reflect biased information? Evidence from voluntary corporate disclosures

56 Pages Posted: 11 Mar 2022 Last revised: 27 Apr 2022

Date Written: April 27, 2022


We study how financial market prices incorporate biased information by focusing on the announcement of easily quantifiable value-relevant news. Given the granularity of the available data, the usage of numbers to describe future outlook, and the large self-selection and managerial incentives involved, corporate voluntary public disclosures provide us with an ideal setting. We establish market prices do not fully incorporate potentially biased information by using high-frequency price changes. For a large cross-section of stocks, we observe that market prices move in the same direction when the manager first communicates the news and when the same news is repeated by an equity analyst the day after. Our results do not depend on whether analysts reinforced the surprise component of managerial announcements. Our findings are consistent with the hypothesis that, due to the presence of unknown managerial reporting bias, investors wait for analysts to confirm managerial announcements before fully responding to them. Changes in risk, investors’ composition, or illiquidity cannot explain our results.

Keywords: High-frequency identification, price discovery, market efficiency, management forecasts, disclosure quality

JEL Classification: G12, G14, G30

Suggested Citation

Gomez Cram, Roberto and Grotteria, Marco, Do market prices reflect biased information? Evidence from voluntary corporate disclosures (April 27, 2022). Available at SSRN: or

Roberto Gomez Cram

London Business School ( email )

Regent's Park, London NW1 4SA
Regent's Park
London, London NW1 4SA
United Kingdom

Marco Grotteria (Contact Author)

London Business School ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom


Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics