Price Reactions to Public Announcements PDF Download

Author: B. Sailesh Ramamurtie
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 52

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Author: Buddhavarapu Sailesh Ramamurtie
Publisher:
ISBN:
Category :
Languages : en
Pages :

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We employ a parametric rational expectations equilibrium model to study the impact of public information releases on private information acquisition and asset prices in a large economy. We demonstrate that investors treat public information as a substitute for privately acquired information. Their attempts to substitute public for private information can amplify or even reverse the effect of public information releases on price volatility. The direction of the resulting change in price volatility is dependent on the level of public information regarding asset payoffs, the variance of asset payoffs, and the extent of supply shocks, implying that firms may differ in their optimal information release policies.

Author: VICTOR L. BERNARD
Publisher:
ISBN:
Category :
Languages : en
Pages : 44

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Author: Seok Woo Jeong
Publisher:
ISBN:
Category :
Languages : en
Pages : 117

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Author: Benjamin Schmitt
Publisher: GRIN Verlag
ISBN: 3656972419
Category : Business & Economics
Languages : en
Pages : 57

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Bachelor Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.1, EBS European Business School gGmbH (Finance), language: English, abstract: Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them. This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.

Author: Sunyoung Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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We examine the effect of option listing on the stock-price response to quarterly earnings announcements. We find that option trading reduces the magnitude of the pre-earnings announcement drift. We also present evidence that firms with options exhibit more intensive price reactions to earnings news than firms without options. In addition, we show that the magnitude of the post-earnings announcement drift is smaller for option firms than non-option firms. These results suggest that the existence of traded options increases the speed of stock price adjustment. Overall, our results reinforce the notion that option listing improves the informational efficiency in equity markets. In addition, our results are consistent with the view that transactions costs cause a delayed price response in the post-earnings announcement period.

Author: Martin D. D. Evans
Publisher: Princeton University Press
ISBN: 1400838843
Category : Business & Economics
Languages : en
Pages : 561

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A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas

Author: Gilad Livne
Publisher:
ISBN:
Category :
Languages : en
Pages : 266

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Author: Dennis Lasser
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper examines the effect of the inherent demand implied by short interest by observing price reactions to earnings announcements based on the level of short interest. We find that for extreme good- and bad- news events, the inherent demand increases stock prices around the earnings announcement date, with the effect being stronger for good news relative to bad news. Specifically, the initial market reaction to an extreme positive earnings surprise is larger for firms with high levels of short interest. On the other hand, for an extreme negative earnings surprise event, the initial market reaction is smaller for heavily shorted firms. Furthermore, the initial rightward demand curve shift caused by the short sellers' reaction to an extreme good (bad) news event also results in a smaller (larger) post-earnings-announcement drift.

Author: Guojun Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 51

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Using the special event of short selling ban removal in the Chinese stock market in March 2010, I study the relationship between short selling activities and future stock returns and the effect of short sale constraints on stock price reactions to earnings announcements. I find strong evidence supporting the Diamond and Verrecchia (1987) hypothesis that an unexpected increase in short interest predicts negative future stock returns. The long-short portfolio that buys stocks with a decline or no change in short interest and shorts stocks with an increase in short interest is able to generate a significant positive return in the following week. The positive return is strongest during the first two days, is most significant in three industries: properties, conglomerates, and industrials, is highest for big firms, growth stocks, and stocks with high short interest. Moreover, I also confirm the Diamond and Verrecchia (1987) prediction that reducing short sale constraints leads to smaller price adjustments on the private information announcement day as the stock price reaction to earnings surprises on earnings announcement day is found to be 70% lower after the short sale ban is removed. However, I don't find evidence supporting their prediction that the reduction in price reaction is larger when negative news is released due to data limitations.