Earnings surprises and prior insider trading: Tests of joint informativeness Export

@article{citeulike:3339139, abstract = {Building on the notion that both earnings surprises and the level of insider trading are noisy signals of future prospects of the firm, this paper empirically investigates joint informativeness of the two signals surrounding earnings announcements. Classification of a large sample of firms in the time period 1977-81 based both on the levels of earnings surprise and insider trading results in a finer partition informationally, compared to using just one signal. Both additive and interactive effects are observed while analysing the security market response during the three trading days centered on the day of earnings announcements. Over a 19-day postannouncement period, the results are less pronounced. The overall pattern of results implies that each signal may contain information not contained in the other, and/or some of the noise associated with each signal may be interactively resolved at the time of earnings announcements. This inference is robust under many measurement alternatives.}, author = {Allen, Steven and Ramanan, Ramachandran}, citeulike-article-id = {3339139}, journal = {Contemporary Accounting Research}, keywords = {corporate, earnings, forecasting, information, insider-trading, markets, profits, securities, theory}, number = {2}, pages = {518--543}, posted-at = {2008-09-26 08:16:16}, priority = {2}, title = {Earnings surprises and prior insider trading: Tests of joint informativeness}, volume = {6}, year = {1990} }

TY - JOUR ID - citeulike:3339139 L3 - citeulike-article-id:3339139 N2 - Building on the notion that both earnings surprises and the level of insider trading are noisy signals of future prospects of the firm, this paper empirically investigates joint informativeness of the two signals surrounding earnings announcements. Classification of a large sample of firms in the time period 1977-81 based both on the levels of earnings surprise and insider trading results in a finer partition informationally, compared to using just one signal. Both additive and interactive effects are observed while analysing the security market response during the three trading days centered on the day of earnings announcements. Over a 19-day postannouncement period, the results are less pronounced. The overall pattern of results implies that each signal may contain information not contained in the other, and/or some of the noise associated with each signal may be interactively resolved at the time of earnings announcements. This inference is robust under many measurement alternatives. IS - 2 JF - Contemporary Accounting Research EP - 543 TI - Earnings surprises and prior insider trading: Tests of joint informativeness VL - 6 SP - 518 KW - corporate KW - earnings KW - forecasting KW - information KW - insider-trading KW - markets KW - profits KW - securities KW - theory AU - Allen, Steven AU - Ramanan, Ramachandran PY - 1990/// ER -