Opinion Divergence and Post-Earnings Announcement Drift
Opinion Divergence and Post-Earnings Announcement Drift
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意见分歧和财报公布后的漂移
DOI：
10.2139/ssrn.969736
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Eric C. So
中科院分区：
文献类型：
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作者：
Kirsten L. Anderson;J. Harris;Eric C. So
本文研究了不同意见与盈余公告后漂移之间的关系。我们提供了一种改进的意见分歧的措施，从分散的订单流在纳斯达克做市商，捕捉的分歧，是基于量的措施失去了广度。我们发现的证据表明，有限的参与（在延迟的价格反应和短期销售限制的形式）和不同的意见，大大有助于漂移。我们还发现，盈利意外会导致意见分歧、交易量和回报波动性的永久性上升，并持续到公告后的9个月。我们的研究结果表明，意见分歧elevented增加了风险的形式增加的波动性与由此产生的回报包括漂移的一个组成部分。我们的文件，每日意见分歧是一个定价的风险因素超过9个月的漂移期。这些关系的持续性表明，意见分歧代表了市场对公告公司的评估的根本变化，这种变化超出了公告期，并影响了公告后的股票收益。
This paper examines the relationship between divergent opinions and post-earnings announcement drift. We provide an improved measure of opinion divergence constructed from the dispersion of order flow across Nasdaq market makers that captures the breadth of divergence that is lost by volume-based measures. We find evidence that both limited participation (in the form of delayed price reaction and short sale constraints) and divergent opinions contribute significantly to drift. We also find that earnings surprises induce permanent upward shifts in opinion divergence, trading volume, and return volatility that last up to nine months following the announcement. Our results suggest that opinion divergence elicits added risk in the form of increased volatility with the resulting returns comprising a component of drift. We document that daily opinion divergence is a priced risk factor over the nine month drift period. The persistence of these relationships suggests that opinion divergence represents a fundamental change in the market's assessment of the announcing firm that extends beyond the announcement period and influences post-announcement stock returns.