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Short-Term Investors, Public Disclos...
~
Holzman, Eric Richard.
Short-Term Investors, Public Disclosures, and the Informativeness of Prices for Future Fundamentals.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Short-Term Investors, Public Disclosures, and the Informativeness of Prices for Future Fundamentals./
作者:
Holzman, Eric Richard.
面頁冊數:
1 online resource (81 pages)
附註:
Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
Contained By:
Dissertation Abstracts International79-02A(E).
標題:
Accounting. -
電子資源:
click for full text (PQDT)
ISBN:
9780355456509
Short-Term Investors, Public Disclosures, and the Informativeness of Prices for Future Fundamentals.
Holzman, Eric Richard.
Short-Term Investors, Public Disclosures, and the Informativeness of Prices for Future Fundamentals.
- 1 online resource (81 pages)
Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
Thesis (Ph.D.)
Includes bibliographical references
Conventional theory suggests that the market reaction to a public disclosure reveals investors' revised evaluations about the future fundamentals of the firm. However, emerging theory motivated by Keynes' beauty contest metaphor predicts that investors with short investment horizons are likely to be more concerned with predicting near-term price changes than with trading on expectations about future fundamentals around public disclosures. I find that the informativeness of stock returns for future earnings around corporate earnings disclosures is materially attenuated when a high proportion of firm shares are held by short-term institutional investors. Moreover, beauty contest theory predicts that this type of behavior leads short-term investors to place disproportionately high weights on public information in forecasting interim asset prices. Consistent with this notion, I document an initial overreaction to current earnings news for firms with a high degree of short-term institutional investors. Lastly, I find this informational inefficiency is strongest when the current earnings disclosure is more precise. Overall, the findings suggest that prices around public disclosures more slowly anticipate future fundamentals when a firm's investor base includes a significant portion of short-term investors.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780355456509Subjects--Topical Terms:
561166
Accounting.
Index Terms--Genre/Form:
554714
Electronic books.
Short-Term Investors, Public Disclosures, and the Informativeness of Prices for Future Fundamentals.
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Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
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Includes bibliographical references
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Conventional theory suggests that the market reaction to a public disclosure reveals investors' revised evaluations about the future fundamentals of the firm. However, emerging theory motivated by Keynes' beauty contest metaphor predicts that investors with short investment horizons are likely to be more concerned with predicting near-term price changes than with trading on expectations about future fundamentals around public disclosures. I find that the informativeness of stock returns for future earnings around corporate earnings disclosures is materially attenuated when a high proportion of firm shares are held by short-term institutional investors. Moreover, beauty contest theory predicts that this type of behavior leads short-term investors to place disproportionately high weights on public information in forecasting interim asset prices. Consistent with this notion, I document an initial overreaction to current earnings news for firms with a high degree of short-term institutional investors. Lastly, I find this informational inefficiency is strongest when the current earnings disclosure is more precise. Overall, the findings suggest that prices around public disclosures more slowly anticipate future fundamentals when a firm's investor base includes a significant portion of short-term investors.
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click for full text (PQDT)
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