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Earnings Co‐movements and the Informativeness of Earnings
Abacus ( IF 2.060 ) Pub Date : 2020-08-19 , DOI: 10.1111/abac.12200
Andrew B. Jackson , Chao Li , Richard D. Morris

We examine the informativeness of earnings in the presence of earnings co‐movements. Many theoretical studies infer that the more a firm's earnings move with the market the less weight investors need to place on those earnings, thus rendering them less informative. On the other hand, managers have less opportunity to bias the earnings signal the more earnings co‐move, making them more reliable. We measure earnings co‐movement using an industry–firm pairing correlational technique. Overall our results show both the degree of co‐movement and the ordering of earnings announcements impacts on the informativeness of earnings as indicated by earnings response coefficients. Earnings responses are larger for firms that report earnings before their most highly correlated industry peer, but the responses are reduced as earnings co‐movement increases. We interpret our results to indicate that the more earnings co‐move with an industry peer the less informative earnings become, but only when the peer firm is able to obtain information at a later date.

中文翻译:

收益联动和收益的信息性

我们在存在收益联动的情况下检查收益的信息量。许多理论研究推断,公司的收益随市场变动得越多,投资者对这些收益的权重就越小,从而导致其信息量越少。另一方面,管理者有更少机会偏向收益信号,收益联动越多,它们就越可靠。我们使用行业-公司配对相关技术来衡量收益联动。总体而言,我们的结果表明,收益响应系数表明,联动程度和收益公告的顺序都会影响收益的信息量。对于在相关性最高的行业同行之前报告收益的公司,收益响应更大,但随着收益联动增加,响应会减少。
更新日期:2020-08-19
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