ABSTRACT

This study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (2012) spread level, residual sum of squares (RSS) with the capital asset pricing model, and the illiquidity ratio, which were lower after the event for some cases. When discerning between good and bad surprises, statistical differences emerged only with the RSS measure. During the COVID-19 period, these measures were lower after the event for more cases. Thus, information asymmetry significantly reduces in periods of uncertainty, suggesting that quarterly reports are more useful for investors during these periods.

摘要

这项研究在2010年至2020年第二季度的47份季度报告中测试了投资者的非对称性水平。该非对称性水平是通过分析三项指标确定的：Corwin和Schultz（2012年）的价差水平，残差平方和（RSS）资本资产定价模型和非流动性比率（在某些情况下较低）。在区分意外的好坏时，只有使用RSS度量时才出现统计差异。在COVID-19期间，事件发生后这些措施的使用率会降低。因此，信息的不对称性在不确定的时期显着减少，这表明季度报告对于这些时期的投资者更为有用。