The effect of earnings surprises on information asymmetry

被引：78

作者：

Brown, Stephen ^{[2
]}

Hillegeist, Stephen A. ^{[3
]}

Lo, Kin ^{[1
]}

机构：

[1] Univ British Columbia, Sauder Sch Business, Vancouver, BC V5Z 1M9, Canada

[2] Univ Maryland, RH Smith Sch Business, College Pk, MD 20742 USA

[3] INSEAD, Fontainebleau, France

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2009年 / 47卷 / 03期

关键词：

Information asymmetry; Earnings surprises; Investor recognition hypothesis; PRICE; MARKET; OWNERSHIP; BEHAVIOR; BREADTH; IMPACT; TRADE; LEVEL; MODEL; SIZE;

D O I：

10.1016/j.jacceco.2008.12.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the effect of earnings surprises on changes in information asymmetry. We hypothesize and find that asymmetry is lower (higher) in the quarter following positive (negative) earnings surprises compared to firms that meet the consensus analyst earnings forecast. The relations between earnings surprises and information asymmetry are stronger when the surprises are more likely to capture investors' attention. Examining the source of these changes, we show that decreased information search activities is the most important factor for asymmetry declining after positive Surprises; for negative Surprises, decreased uninformed trading plays a dominant role increasing asymmetry. Crown Copyright (C) 2008 Published by Elsevier B.V. All rights reserved.

引用

页码：208 / 225

页数：18

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