search query: @author Inyangete, C. G. / total: 2
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| Author: | Pope, P. Inyangete, C. G. |
| Title: | Differential information, the variability of UK stock returns and earnings announcements. |
| Journal: | Journal of Business Finance and Accounting
1992 : JUN, VOL. 19:4, p. 603-623 |
| Index terms: | STOCK MARKETS UNITED KINGDOM STOCK RETURNS STATISTICAL METHODS |
| Language: | eng |
| Abstract: | This paper investigates the association between the variability of security returns around earnings announcements, and the amount of pre-disclosure information about a firm. Authors tested the differential information hypotheses more directly by selecting proxies which we believe to be prima facie associated with incentives for market participants to invest in information collection. They found sharp evidence that the variability of returns in announcement week is significantly higher than in the pre-announcement period. The variability increase is largest for small USM firms and less pronounced for large firms. Cross-sectional modelling of the earning-related volatility suggests that differential information proxies contain explanatory power not subsumed by size alone. |
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