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| Tekijä: | Cheon, Y. S. Ghristensen, T. E. Smith, L. |
| Otsikko: | Factors Associated with Differences in the Magnitude of Abnormal Returns Around NYSE Versus Nasdaq Firms' Earnings Announcements |
| Lehti: | Journal of Business Finance and Accounting
2001 : VOL. 28:9-10, p. 1073-1109 |
| Asiasana: | EARNINGS ACCOUNTING RESEARCH RETURN ON INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | This study provides an explanation for the 'exchange effect' puzzle documented in prior accounting research. Grant (1980) finds that the magnitude of earnings announcement week abnormal returns is higher, on average, for firms traded over-the-counter than for NYSE firms. Atiase (1987) shows that this incremental 'exchange effect' persists even after controlling for firm size. The authors investigate potential explanations for this incremental exchange effect. The authors first show that even after controlling for differences in firm size, Nasdaq firms have less rich information environments and enjoy greater growth opportunities than NYSE firms. The authors then investigate whether differential predisclosure information environments and/or growth opportunities can explain the incremental exchange effect. |
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