Abstract
This study provides evidence that most of the stock price reactions to bad news management forecasts of annual earnings are reversed in the 60 days following the forecast. In addition, a significant amount of the price reaction to bad news forecasts of quarterly earnings is reversed in the market's reaction to the following quarterly earnings announcement. Unlike the previous overreaction evidence, this study is not subject to the criticisms of beta-shifts, cross-firm comparisons, or lengthy intertemporal comparisons. In addition, the results are robust to include many additional variables that could be hypothesized to affect the observed results.
| Original language | English |
|---|---|
| Pages (from-to) | 405-429 |
| Number of pages | 25 |
| Journal | Journal of Empirical Finance |
| Volume | 6 |
| Issue number | 4 |
| DOIs | |
| State | Published - Oct 1999 |
Keywords
- Anomalous
- Asset pricing
- Forecast
- G12
- G14
- Market efficiency
- Security price
- Stock price behavior
ASJC Scopus subject areas
- Finance
- Economics and Econometrics