کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084426 | 1477901 | 2017 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Under-or-overreaction: Market responses to announcements of earnings surprises
ترجمه فارسی عنوان
زیر و یا بیش از حد واکنش: پاسخ های بازار به اطلاعیه های سود شگفت انگیز است
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We test whether the well-documented market reaction to the announcements of earnings surprises is a manifestation of an investor underreaction or overreaction to extremely good or bad earnings news. Using the market reaction in the three-day period surrounding the announcements of extreme earnings surprises (i.e., SUE) in quarter Qt as a reference point, we show that firms reporting a high (low) SUE in subsequent quarter Qt + 1 that confirms their initial quarter Qt SUE ranking in the same highest or lowest SUE quintiles generate an incremental price run that moves in the same direction as that of the initial SUE. However, the price impact of the confirming SUE signal is weaker than that of its initial SUE. Our findings are robust to the Fama-French three-factor daily regression extended by the momentum factor and a number of other robustness tests. Our result is not consistent with the prevalent view that investors underreact to earnings news. To the contrary, the evidence suggests an initial investor overreaction to extreme SUE signals.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 52, July 2017, Pages 160-171
Journal: International Review of Financial Analysis - Volume 52, July 2017, Pages 160-171
نویسندگان
Abdulaziz M. Alwathnani, David A. Dubofsky, Haitham A. Al-Zoubi,