haku: @author Pasternack, D. / yhteensä: 4
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| Tekijä: | Ekholm, A. Pasternack, D. |
| Otsikko: | The negative news threshold - An explanation for negative skewness in stock returns |
| Lehti: | European Journal of Finance
2005 : DEC, VOL. 11:6, p. 511-529 |
| Asiasana: | stock options stock returns disclosure policy stock exchanges models Finland Nordic countries |
| Kieli: | eng |
| Tiivistelmä: | This paper deals with the issue of negative skewness (hereafter as: neg-skew.) from a different angle to previous studies by combining the Trueman's 1997 model of management disclosure practices with symmetric market responses to explain neg-skew. in stock returns (here as: s-rets). Empirical tests reveal that s-rets. for days when non-scheduled news items are disclosed are the source of neg-skew. in s-rets., as predicted. These findings suggest that neg-skew. in s-rets. is induced by asymmetries in the news disclosure policies of firm management. In addition, it is found that the s-rets. are negatively skewed only for non-scheduled firm-Specific news disclosures for firms where the management is compensated with stock options. |
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