Belief diversity and price informativeness around earnings announcements |
| |
| Affiliation: | 1. University of Michigan-Flint, Flint, MI, United States;2. Miami University, Oxford, OH, United States;3. University of Memphis, Memphis, TN, United states;4. Old Dominion Unversity, Norfolk, VA, United States;1. Department of Accounting, Deakin Business School, Deakin University, Level 3, Building LB, 221 Burwood Highway, Burwood, VIC 3125, Australia;2. Department of Accounting, Monash Business School, Monash University, Level 3, Building H, 900 Dandenong Road, Caulfield East, VIC 3145, Australia;1. Faculty of Business and Economics, The University of Hong Kong, Hong Kong, China;2. School of Economics and Management, Harbin Institute of Technology, Shenzhen, China;1. Department of Business Administration, University of Patras, University Campus, 26504 Rio - Patras, Greece;2. Department of Mathematics, University of Patras, University Campus, 26504 Rio – Patras, Greece |
| |
| Abstract: | The consequences of price informativeness have been extensively studied in the past. In contrast, this study goes a step backward to explore its determinants by examining whether belief diversity facilitates a complete and timely reflection of earnings news into prices. Using a global dataset, we find a higher abnormal return variance ratio (lower post-earnings announcement drift) in the presence of more diversely-informed beliefs among traders. This inference holds despite several robustness checks. Moreover, the cross-country analysis reveals that the documented impact of belief diversity intensifies in countries with higher market development, greater corporate transparency, and stronger investor protection. |
| |
| Keywords: | G14 M41 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
