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Financial Reporting and the Market Risk Premium.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Financial Reporting and the Market Risk Premium./
Author:	Lombardi, Brett.
Description:	1 online resource (79 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-03(E), Section: A.
Contained By:	Dissertation Abstracts International79-03A(E).
Subject:	Accounting. -
Online resource:	click for full text (PQDT)
ISBN:	9780355519723

Financial Reporting and the Market Risk Premium.
Lombardi, Brett.

Financial Reporting and the Market Risk Premium. - 1 online resource (79 pages)

Source: Dissertation Abstracts International, Volume: 79-03(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

I test whether predictable changes in the rate of information flow affect the market risk premium. Four periods of the year when the majority of firms are scheduled to announce earnings account for 70% of realized value-weighted excess returns---but only account for 50% of trading days---from 1926 to 2015. These earnings seasons have average returns of 5.3% and a Sharpe ratio of 0.61 while the remainder of the year has average returns of 2.4% and a Sharpe ratio of 0.25. Using regression-based tests to control for a variety of seasonal effects, I find the market risk premium is up to 17 basis points higher on days when large firms are scheduled to forecast earnings. I then run a series of tests related to (i) market, industry and firm volatility; (ii) cross-sectional measures of market risk; (iii) the retail industry, which delays reporting due to the holiday season; (iv) the relationship between earnings announcements, aggregate earnings and market returns; (v) the January and Wednesday effects; and (vi) economic indicators and macroeconomic cycles. The results support the information flow hypothesis linking earnings announcements to the market risk premium.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355519723Subjects--Topical Terms:

561166
Accounting.
Index Terms--Genre/Form:

554714
Electronic books.

Financial Reporting and the Market Risk Premium.
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100 1 $a Lombardi, Brett. $3 1181109
245 1 0 $a Financial Reporting and the Market Risk Premium.
264 0 $c 2017
300 $a 1 online resource (79 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 79-03(E), Section: A.
500 $a Adviser: Douglas J. Skinner.
502 $a Thesis (Ph.D.) $c The University of Chicago $d 2017.
504 $a Includes bibliographical references
520 $a I test whether predictable changes in the rate of information flow affect the market risk premium. Four periods of the year when the majority of firms are scheduled to announce earnings account for 70% of realized value-weighted excess returns---but only account for 50% of trading days---from 1926 to 2015. These earnings seasons have average returns of 5.3% and a Sharpe ratio of 0.61 while the remainder of the year has average returns of 2.4% and a Sharpe ratio of 0.25. Using regression-based tests to control for a variety of seasonal effects, I find the market risk premium is up to 17 basis points higher on days when large firms are scheduled to forecast earnings. I then run a series of tests related to (i) market, industry and firm volatility; (ii) cross-sectional measures of market risk; (iii) the retail industry, which delays reporting due to the holiday season; (iv) the relationship between earnings announcements, aggregate earnings and market returns; (v) the January and Wednesday effects; and (vi) economic indicators and macroeconomic cycles. The results support the information flow hypothesis linking earnings announcements to the market risk premium.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Accounting. $3 561166
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0272
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Chicago. $b Business. $3 1179073
773 0 $t Dissertation Abstracts International $g 79-03A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10638583 $z click for full text (PQDT)