Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts

被引：5

作者：

Antoniou, Constantinos ^{[1
]}

Galariotis, Emilios C. ^{[2
]}

Read, Daniel ^{[1
]}

机构：

[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[2] Audencia PRES LUNAM, Ctr Financial & Risk Management, F-44312 Nantes, France

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2014年 / 20卷 / 03期

关键词：

ambiguity aversion; size premium; analyst earnings forecasts; ANALYST; ACCURACY; RETURNS; RISK; UNCERTAINTY; INFORMATION; REVISIONS; BEHAVIOR;

D O I：

10.1111/j.1468-036X.2012.00651.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesise that analyst forecasts for smaller companies are relatively more ambiguous; hence they are priced pessimistically by ambiguity-averse investors. As the quarter comes to a close and ambiguity gradually subsides, the stock prices of smaller companies rise to correct this pessimism, creating the size effect. Our results support these hypotheses.

引用

页码：633 / 651

页数：19

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