Intra-industry information transfers: Evidence from earnings announcements

TR Number
Date
2006-04-12
Journal Title
Journal ISSN
Volume Title
Publisher
Virginia Tech
Abstract

I examine the role of product market relations in information assimilation surrounding corporate earnings announcements. I provide evidence that intra-industry information transfers measured by industry rival earnings announcements account for a substantial portion of the well documented post-earnings announcement drift. While this evidence appears to be most consistent with rational structural uncertainty [Brav and Heaton (2002)] one cannot rule out the possibility of behavioral biases.

Description
Keywords
Post-earnings drift, Product market relations, Intra-industry information transfer, Information assimilation
Citation