We study how the arrival of macro-news affects stock market's ability to incorporate information in firm-level earnings announcements. Existing theories suggest that macro and news are attention substitutes; announcements crowd out attention, causing less efficient processing find opposite: sensitivity announcement returns is 17% stronger, post-earnings drift 71% weaker, on days. This suggests ...

This study uses the segmented dual-class shares of Chinese firms---A shares traded inside mainland China by local investors and H shares traded in Hong Kong by foreign investors---to analyze how local and foreign investors react to public news about the same firms. We find significant heterogeneity in their reactions. First, foreign investors react more strongly to earnings announcements. Secon...

We find that trends and reversals in past earnings surprises predict future stock returns. These earnings surprise sequences produce a 9.88% risk-adjusted annual return which cannot be attributed to momentum nor post-earnings announcement drift. Our empirical methodology captures the market’s beliefs regarding future returns by estimating the probability associated with different possible retur...

An information usefulness approach to decision making points out that only the information is regarded as useful that will bring valuable messages to investors and lead to stock price adjustments. This study examines the effectiveness of audit committees in improving earnings quality and informativeness, particularly among family-owned firms. Earnings informativeness was measured through the re...

this paper compares the value relevance of book value and dividends versus book value and reported earnings. the main purpose of this study explains which of dividends, book value and earnings are more value relevance. thus, we have examined 98 firms of tehran stock exchange over a period 1377-1382. our methodology of examining the information content of various income statement and balance she...

In this paper, we examine the predictability of the cross-section of bank stock returns by taking advantage of the unique set of industry characteristics that prevail in the financial services sector. We examine predictability in the cross-section of bank stock returns using information contained in individual bank fundamental variables such as income from derivative usage, previous loan commit...

The predictability of abnormal returns based on information contained in past earnings announcements is a statistically and economically significant anomaly. Neither is it illusory, nor is it an artefact of the experimental design. It may be a result of market inefficiency. Our results cannot rule out this explanation. However, we find that the magnitude of the post-earnings announcement effect...

This paper examines institutional trading in momentum portfolios. The key result is that institutions engage in momentum trading over the subsequent 3 quarters, buying winners and selling losers, in response to past returns but not past earnings news. Momentum trading is strengthened, however, when returns are accompanied by earnings news of the same sign. While past high returns predict future...