Intra-industry information transfers: Evidence from earnings announcements

TR Number

Date

2006-04-12

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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