Asymmetric responses in divergence of opinions to good news and bad news earnings shocks
We examine the asymmetric response in divergence of opinion to bad and good earnings shocks and whether the asymmetric response changes as the the relative level of the market changes. Our sample includes all quarterly firm earnings announcements over the period between 1985 and 2008. Using four distinct proxies for difference of opinion, we find that high difference of opinion firms earn significantly lower return than low difference of opinion firms around bad news earnings announcements; the difference between the two groups are less pronounced-or even reversed-around good news earnings announcements. The above results are robust when we control for various firm characteristics and alternative explanations. Furthermore, we find that the difference between responses to good and bad news is greater when the relative market level is low. The findings are consistent with the argument that ambiguity-averse investors discount good news and they do so to a greater degree when the market level is low.
Jin Yu Haigang Zhou John Qi Zhu
Finance, Insurance and Real Estate, Saint Cloud State University, Saint Cloud, Minnesota 56301-4498 Department of Finance, Cleveland State University, Cleveland, OH 44115-2214 Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200052, China
国际会议
Third Shanghai Winter Finance Conference(第三届上海冬季金融研讨会)
上海
英文
1-45
2010-12-18（万方平台首次上网日期，不代表论文的发表时间）