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Article: Short sale constraints, heterogeneous interpretations, and asymmetric price reactions to earnings announcements

TitleShort sale constraints, heterogeneous interpretations, and asymmetric price reactions to earnings announcements
Authors
Issue Date2013
PublisherElsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jaccpubpol
Citation
Journal of Accounting and Public Policy, 2013, v. 32 n. 6, p. 435-455 How to Cite?
AbstractThis study tests Miller's (1977) overpricing hypothesis from a new angle. Specifically, we investigate the effects of heterogeneous interpretations on price reactions to earnings announcements. We find that the difference between good news and bad news earnings response coefficients increases with the degree of heterogeneous interpretations in the presence of short sale constraints. This pattern is more pronounced when short sale constraints are more binding. These findings support the notion that, under short sale constraints, stock prices selectively incorporate more optimistic opinions rather than the average opinion of all investors. Therefore, reducing short sale constraints should facilitate price discovery and improve price efficiency. This study complements recent studies examining the joint effect of short sale constraints and ex ante opinion divergence on price reactions to earnings announcements.
Persistent Identifierhttp://hdl.handle.net/10722/193380
ISSN
2015 Impact Factor: 1.317
2015 SCImago Journal Rankings: 1.030
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorXu, Jen_US
dc.contributor.authorZheng, Len_US
dc.date.accessioned2013-12-20T03:03:19Z-
dc.date.available2013-12-20T03:03:19Z-
dc.date.issued2013en_US
dc.identifier.citationJournal of Accounting and Public Policy, 2013, v. 32 n. 6, p. 435-455en_US
dc.identifier.issn0278-4254-
dc.identifier.urihttp://hdl.handle.net/10722/193380-
dc.description.abstractThis study tests Miller's (1977) overpricing hypothesis from a new angle. Specifically, we investigate the effects of heterogeneous interpretations on price reactions to earnings announcements. We find that the difference between good news and bad news earnings response coefficients increases with the degree of heterogeneous interpretations in the presence of short sale constraints. This pattern is more pronounced when short sale constraints are more binding. These findings support the notion that, under short sale constraints, stock prices selectively incorporate more optimistic opinions rather than the average opinion of all investors. Therefore, reducing short sale constraints should facilitate price discovery and improve price efficiency. This study complements recent studies examining the joint effect of short sale constraints and ex ante opinion divergence on price reactions to earnings announcements.-
dc.languageengen_US
dc.publisherElsevier Inc. The Journal's web site is located at http://www.elsevier.com/locate/jaccpubpolen_US
dc.relation.ispartofJournal of Accounting and Public Policyen_US
dc.titleShort sale constraints, heterogeneous interpretations, and asymmetric price reactions to earnings announcementsen_US
dc.typeArticleen_US
dc.identifier.emailChang, EC: ecchang@business.hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jaccpubpol.2013.08.001-
dc.identifier.scopuseid_2-s2.0-84887164899-
dc.identifier.hkuros227062en_US
dc.identifier.volume32en_US
dc.identifier.issue6en_US
dc.identifier.spage435en_US
dc.identifier.epage455en_US
dc.identifier.isiWOS:000327565400001-
dc.publisher.placeUnited States-

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