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| Author: | Berkman, H. (et al.) |
| Title: | Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements |
| Journal: | Journal of Financial Economics
2009 : JUN, VOL 92:3, p. 376-399 |
| Index terms: | institutional investors arbitrage market efficiency short selling |
| Language: | eng |
| Abstract: | It is previously suggested that if the stock is subject to differences of opinion and short-sales constraints, its price is biased upward. The article claims earnings announcements to reduce the differences of opinion. It uses five different proxies for differences of opinion and data of quarterly earnings announcements from NYSE, AMEX and Nasdaq during 1985-2005. The results indicate that for stocks subject to high differences of opinion, the returns are lower around earnings announcement, than for stocks subject to low differences of opinion. Furthermore, the prices of stocks with high differences of opinion and binding short-sale constraints are found to increase just before earnings announcements, and decline after the announcement. |
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