واکنش بازار به اخبار درآمد:آزمون واحد و یکپارچه از اطلاعات در معرض خطر و هزینه معاملات

We examine how information risk and transaction costs influence the initial and subsequent market reaction to earnings news. We find that the initial market reaction is higher per unit of earnings surprise for higher information risk firms (information content effect). Furthermore, it is information risk that induces transaction costs that limit the initial market reaction and lead to higher subsequent drift (transaction costs effect). Information risk does not have an effect on drift beyond that achieved through transaction costs. Our findings highlight the importance of understanding the linkage between information risk and transaction costs in price discovery around public disclosure.

While the information risk (Zhang, 2006, Mendenhall, 2004 and Garfinkel and Sokobin, 2006) and transaction cost (Ke and Ramalingegowda, 2005, Sadka, 2006, Ng et al., 2008 and Chordia et al., 2009) literatures offer two interrelated explanations of price discovery around and after earnings announcements, the hypotheses related to these explanations do not necessarily have the same predictions with regard to market returns during and subsequent to earnings news. Building on the existing literatures, the purpose of this paper is to analyze, within a unified framework, the effects of information risk and transaction cost explanations of price discovery around and after earnings announcements.

This study brings together two related literatures on information risk and transaction costs to provide a comprehensive analysis of price discovery around and after earnings announcements. Building on the existing literature we propose two hypotheses. The Information Content hypothesis posits that public disclosure has a higher relative importance in firms with higher information risk, and hence traders will react more strongly to the earnings surprises of firms with higher information risk; however, this hypothesis predicts no effect of information risk on subsequent drift. The Transaction Cost hypothesis suggests that as a market friction and a limit to arbitrage, transaction costs constrain the initial market reaction and this leads to a positive association with post-earnings announcement returns.