BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Blitzer Itai (TradeSoft Ltd., Israel)
Tytuł
Measuring the Usefulness of Information Publication Time to Proxy for Returns
Źródło
Economics and Business Review, 2015, vol. 1 (15), nr 4, s. 46-68, rys., tab., bibliogr. 46 poz.
Słowa kluczowe
Sprawozdanie finansowe, Giełda, Raportowanie
Financial statements, Stock exchange, Reporting
Uwagi
summ.
Abstrakt
This paper deals with investors' reaction to financial reports submitted by firms to the stock exchange, and specifically measures the influence of publication timing on investors: by using the proximity of the publication date to the regulated publication deadline as an independent variable the study examines whether deadline proximity causes a change in investors' reaction (as reflected in share returns). Understanding the connection between the publication date and investors' reaction contributes to the general understanding of financial reports and to the understanding of investors as recipients of those reports. Methodology: quantitative analysis is used based on empirical data collected at the Tel-Aviv Stock Exchange from financial reports published over the fiscal years 2009-2013. The data include quarterly and yearly financial reports and share performance for the corresponding periods. By bundling report publications made within a specific proximity to the deadline and comparing them with investors' reaction, non-parametric tests reveal a statistically significant correlation between the publication date deadline proximity to the share performance (returns). The conclusion of this research is that the time of financial report publication has an influence on investors' reaction. This suggests that investors react to financial reports not just based on their intrinsic information content but also in respect of their publication time.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Abarbanell, J.S., 1991, Do Analysts' Earnings Forecasts Incorporate Information in Prior Stock Price Changes?, Journal of Accounting and Economics, no. 14(2): 147-165.
  2. Alford, A.W., Jones, J.J., Zmijewski, M.E., 1994, Extensions and Violations of the Statutory SEC Form 10-K Filing Requirements, Journal of Accounting and Economics, no. 17: 229-254.
  3. Amihud, Y., Hauser, S., Kirsh, A., 2003, Allocations, Adverse Selection, and Cascades in IPOs: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics, no. 68(1): 137-158.
  4. Anderson, K.L., Yohn, T.L., 2002, The Effect of 10K Restatements on Firm Value, Information Asymmetries, and Investors Reliance on Earnings, Information Asymmetries, and investors Reliance on Earnings, September.
  5. Antweiler, W., Frank, M.Z., 2006, Do US Stock Markets Typically Overreact to Corporate News Stories?, available at SSRN 878091.
  6. Asthana, S., Balsam, S., 2001, The Effect of EDGAR on the Market Reaction to 10K Filings, Journal of Accounting and Public Policy, no. 20: 349-372.
  7. Asthana, S., Balsam, S., Sankaraguruswamy, S., 2004, Differential Response to Small versus Large Investors to 10-K Filings on EDGAR, The Accounting Review, no. 79: 571-589.
  8. Bagnoli, M., Kross, W., Watts, S.G., 2002, The Information in Management's Expected Earnings Report Date: A Day Late, Penny Short, Journal of Accounting Research, no. 40: 1275-96.
  9. Ball, R., Shivakumar, L., 2008, How Much New Information Is There in Earnings?, Journal of Accounting Research, no. 46(5): 975-1016.
  10. Baumeister, F., Bratslavsky, E., Finkenauer, C., Vohs, K.D., 2001, Bad Is Stronger than Good, Review of General Psychology, no. 5, 323-370.
  11. Będowska-Sójka, B., 2014, Intraday Stealth Trading. Evidence from the Warsaw Stock Exchange, Poznań University of Economics Review, vol. 14, no. 1: 5-19.
  12. Bernard, V.L., Thomas, J.K., 1989, Post-earnings-announcement Drift: Delayed Price Response or Risk Premium, Journal of Accounting Research, no. 27: 1-36.
  13. Biddle, G.C., Hilary, G., 2006, Accounting Quality and Firm-level Capital Investment, The Accounting Review, no. 81(5): 963-982.
  14. Brown, S.J., Warner, J.B., 1980, Measuring Security Price Performance, Journal of Financial Economics, no. 8(3): 205-258.
  15. Campbell, C.J., Wasley, C.E., 1996, Measuring Abnormal Daily Trading Volume for Samples of NYSE/ASE and NASDAQ Securities Using Parametric and Nonparametric Test Statistics, Review of Quantitative Finance and Accounting, no. 6 (3): 309-326.
  16. Carhart, M.M., Kaniel, R., Musto, D.K., Reed, A.V., 2002, Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds, Journal of Finance, no. 57 (2): 661-693.
  17. Carter, M.E., Soo, B.S., 1999, The Relevance of Form 8-K Reports, Journal of Accounting Research, no. 37 (1): 119-132.
  18. Choudhary, P., Merkley, K., Schloetzer, J., 2009, Timeliness of Form 10-K, Firm Financial Performance and Information Uncertainty, Working Paper.
  19. Corrado, C.J., 1989, A Nonparametric Test for Abnormal Security-price Performance in Event Studies, Journal of Financial Economics, no. 23 (2): 385-395.
  20. Das, S.R., Chen, M.Y., 2007, Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web, Management Science, no. 53(9): 1375-1388.
  21. Dontoh, A., Ronen, J., 1993, Information Content of Accounting Announcements, The Accounting Review 68 (4): 857-869.
  22. Dzikowska, M., Jankowska, B., 2012, The Global Financial Crisis of 2008-2009 and the Fortune Global 500 Corporations. Looking for Losers among the Biggest-exploratory Study, Poznań University of Economics Review, vol. 12, no. 3: 99-124.
  23. Fama, E.F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, no. 25.2: 383-417.
  24. Griffin, P., 2003, Got Information? Investor Response to Form 10-K and Form 10-Q EDGAR Filings, Review of Accounting Studies, no. 8: 433-460.
  25. Hirschey, M., Palmrose, Z.V., Scholz, S., 2003, Long-term Market Underreaction to Accounting Restatements, University of Kansas, Lawrence, KS.
  26. Hirshleifer, D., Lim, S.S., Teoh, S.H., 2009, Driven to Distraction: Extraneous Events and Underreaction to Earnings News, The Journal of Finance, no. 64(5): 2289-2325.
  27. Hranaiova, J., Byers, S.L., 2007, Changes in Market Responses to Financial Statement Restatement Announcements in the Sarbanes-Oxley Era, available at SSRN 1319354.
  28. Iqbal, J., Farooqi, F.A., 2011, Stock Price Reaction to Earnings Announcement: The Case of an Emerging Market, available at MPRA: 30865.
  29. Kahneman, D., Knetsch, J.L., Thaler, R.H., 2008, The Endowment Effect: Evidence of Losses Valued More than Gains, Handbook of Experimental Economics Results, no. 1, 939-948.
  30. Kalay, A., Wei, L., Wohl, A., 2002, Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange, The Journal of Finance, no. 57(1): 523-542.
  31. Katz, S.B., 2001, Language and Persuasion in Biotechnology Communication with the Public: How not to Say What You're not Going to Say and not Say It, AgBioForum, no. 4 (2): 93-97.
  32. Kloptchenko, A., Eklund, T., Karlsson, J., Back, B., Vanharanta, H., Visa, A., 2004, Combining Data and Text Mining Techniques for Analysing Financial Reports, Intelligent Systems in Accounting, Finance and Management, no. 12(1): 29-41.
  33. Kraft, A.G., Vashishtha, R., Venkatachalam, M., 2014, Real Effects of Frequent Financial Reporting, available at SSRN 2456765.
  34. Lakonishok, J., Shleifer, A., Thaler, R., Vishny, R., 1991, Window Dressing by Pension Fund Managers, American Economic Review, no. 81 (2): 227-231.
  35. Leuz, C., Wysocki, P., 2008, Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research, Working Paper, University of Chicago and Massachusetts Institute of Technology.
  36. Li, E., Ramesh, K., 2009, Market Reaction Surrounding the Filing of Periodic SEC Reports, The Accounting Review, no. 84 (4): 1171-1208.
  37. Li, F., 2006, Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports?, SSRN Electronic Journal, 898181.
  38. MacKinlay, A.C., 1997, Event Studies in Economics and Finance, Journal of Economic Literature: 13-39.
  39. Meier, I., Schaumburg, E., 2006, Do Funds Window Dress? Evidence for U.S. Domestic Equity Mutual Funds, Working Paper, University of Montreal and Northwestern University.
  40. Menike, M.G. P.D., Man, W., 1995, Stock Market Reactions to the Release of Annual Financial Statements Case of the Banking Industry in Sri Lanka, European Journal of Business and Management, no. 5(31): 75-86.
  41. Morey, M.R., O'Neal, E., 2006, Window Dressing in Bond Mutual Funds, Journal of Financial Research, no. 29 (3): 325-347.
  42. Morris, M.W., Sheldon, O.J., Ames, D.R., Young, M.J., 2005, Metaphor in Stock Market Commentary: Consequences and Preconditions of Agentic Descriptions of Price trends, Working Paper, Columbia University, Cornell University, and University of California, Los Angeles.
  43. Musto, D.K., 1999, Investment Decisions Depend on Portfolio Disclosures, Journal of Finance, no. 54 (3): 935-952.
  44. Piotroski, J.D., 2000, Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers, Journal of Accounting Research: 1-41.
  45. Qi, D., Woody, W., Haw, I., 2000, The Incremental Information Content of SEC 10-K Reports Filed under the EDGAR System, Journal of Accounting Auditing and Finance, no. 15: 25-46.
  46. Tetlock, P.C., Saar-tsechansky, M., Macskassy, S., 2007, More than Words?: Quantifying Language to Measure Firms' Fundamentals, The Journal of Finance, no. 63(3): 1437-1467.
Cytowane przez
Pokaż
ISSN
2392-1641
Język
eng
URI / DOI
http://dx.doi.org/10.18559/ebr.2015.4.4
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu