The association between accounting earnings and security returns for large and small firms |
| |
| Institution: | 1. División de Farmacoepidemiología y Farmacovigilancia, Agencia Española de Medicamentos y Productos Sanitarios (AEMPS), Madrid, España;2. Fundación Instituto de Investigación en Servicios de Salud, Valencia, España;3. Departamento de Medicina, Universidad de Valencia/Centro de Investigación Biomédica en Red de Salud Mental (CIBERSAM), Valencia, España;1. Department of Physics, Ocean University of China, Qingdao 266100, China;2. School of Computer Engineering, Qingdao Technological University, Qingdao 266033, China;1. Key Laboratory of Soil Environment Protection of Sichuan Province, Wenjiang 611130, PR China;2. College of Resources and Environment, Sichuan Agricultural University, Wenjiang 611130, PR China;3. Institute of Ecological and Environmental Sciences, Sichuan Agricultural University, Wenjiang 611130, PR China;4. Agricultural College, Sichuan Agricultural University, Wenjiang 611130, PR China;1. Professor, School of Business and Management, Lappeenranta University of Technology, P.O. Box 20, FI-53851 Lappeenranta, Finland;2. Doctoral student, School of Business and Management, Lappeenranta University of Technology, P.O. Box 20, FI-53851 Lappeenranta, Finland |
| |
| Abstract: | The differential information hypothesis advanced by Atiase (1980) states that information production and dissemination by private parties for the purpose of identifying mispriced securities is an increasing function of firm size. This study examines two corollaries of that hypothesis. First, security prices of large firms anticipate accounting earnings earlier than security prices of small firms. Second, for a given level of ‘unexpected’ earnings, the cumulative abnormal returns of small firms exceed those of large firms. The results are generally consistent with Atiase's hypothesis. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
