The differential information contents of unexpected permanent and temporary earnings

Article Abstract:

The differential and incremental information provided by components of unexpected earnings was analyzed. Results showed that the permanent component has a greater effect on excess returns over a holding period of three days around earnings announcements than the temporary component. Analysis of the cross-sectional differences in the effects of temporary components revealed that such components bring about lower stock market reaction in manager-controlled firms.

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Evidence on negative earnings response coefficients

Article Abstract:

A study examines a case in which earnings response coefficients (ERCs) show signs contrary to that which are usually predicted and empirically observed. The importance of investigating negative earnings response coefficients lies in the ability of such a study to show the potential extent of the cross-sectional variances in ERCs and to emphasize the significance of informational interactions in explaining the link between accounting earnings and firm value.

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Changes in asymmetric information at earnings and dividend announcements

Article Abstract:

Changes in asymmetric information at earnings and dividend announcements are studied using a model developed by Hasbrouck (1991). The model decomposes the price variance into trade and random walk components. The trade component determines stock price movements caused by trader actions while the random walk component determines price variance caused by all other activities. Results show that information asymmetry declines during earnings announcements.

Prices and rates, Stocks, Stock-exchange, Stock exchanges, Stock prices

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