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The effect of the information environment on the relationship between financial disclosure and security price variability
15 references·16 citing·37 second hop
The effect of the information environment on the relationship between financial disclosure and security price variability (1983)The effect of the information environment…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…The relationship between return and market value of common stocks (1981)The relationship between retu…The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices (1981)The Ex Ante and Ex Post Price…Misspecification of capital asset pricing (1981)Misspecification of capital a…A Possible Explanation of the Small Firm Effect (1981)A Possible Explanation of the…The effects of capital structure change on security prices (1980)The effects of capital struct…Measuring security price performance (1980)Measuring security price perf…Market Implications of Differential Amounts of Interim Information (1980)Market Implications of Differ…Systematic ‘abnormal’ returns after quarterly earnings announcements (1978)Systematic ‘abnormal’ returns…The Time-Series Behavior of Quarterly Earnings: Preliminary Evidence (1977)The Time-Series Behavior of Q…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Corporate Forecasts of Earnin…The Association Between Market Determined and Accounting Determined Risk Measures. (1970)The Association Between Marke…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Dark Side of Low Financial Reporting Frequency: Investors' Reliance on Alternative Sources of Earnings News and Excessive Information Spillovers (2020)The Dark Side of Low Financia…Financial Reporting Frequency and Corporate Innovation (2019)Financial Reporting Frequency…Increased mandated disclosure frequency and price formation: evidence from the 8-K expansion regulation (2018)Increased mandated disclosure…Disclosure of climate risk information by the world’s largest companies (2018)Disclosure of climate risk in…Does the XBRL Reporting Format Provide Incremental Information Value? A Study Using XBRL Disclosures During the Voluntary Filing Program (2016)Does the XBRL Reporting Forma…Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings (2016)Does Information Intensity Ma…Influence of disclosure and governance on risk of US financial services firms following Sarbanes-Oxley (2008)Influence of disclosure and g…Information transparency and pricing in the municipal bond secondary market (2006)Information transparency and …Voluntary Disclosure of Forward-Looking Earnings Information in Australia (2003)Voluntary Disclosure of Forwa…The Effect of Reporting Frequency on the Timeliness of Earnings: The Cases of Voluntary and Mandatory Interim Reports (2002)The Effect of Reporting Frequ…The Incremental Information Content of SAS No. 59 Going-Concern Opinions (2000)The Incremental Information C…INSIDER TRADING AND THE INFORMATION CONTENT OF EARNINGS (1996)INSIDER TRADING AND THE INFOR…Firm Prominence and the Differential Information Content of Quarterly Earnings Announcements (1989)Firm Prominence and the Diffe…The effect of value line investment survey rank changes on common stock prices (1985)The effect of value line inve…The Association between the Magnitude of Quarterly Earnings Forecast Errors and Risk-Adjusted Stock Returns (1984)The Association between the M…Disclosure frequency and information asymmetryDisclosure frequency and info…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Earnings Management During Import Relief Investigations (1991)Event Studies in Economics and Finance (1997)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)A Test of the Efficiency of a Given Portfolio (1989)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation effects of stock splits and stock dividends (1984)Valuation effects of corporate debt offerings (1986)Trade-Off and Pecking Order Theories of Debt (2005)Common risk factors in the returns on stocks and bonds (1993)Using daily stock returns (1985)Capital markets research in accounting (2001)Environmental purchasing and firm performance: an empirical investigation (2000)Accounting Discretion, Corporate Governance, and Firm Performance* (2008)The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis (2012)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1980Measuring security price performance3,330 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1983Size-related anomalies and stock return seasonality1,800 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1970The Association Between Market Determined and Accounting Determined Risk Measures.573 cited
  • 1980The effects of capital structure change on security prices529 cited
  • 1981A Possible Explanation of the Small Firm Effect432 cited
  • 1981The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices253 cited
  • 1978Systematic ‘abnormal’ returns after quarterly earnings announcements249 cited
  • 1980Market Implications of Differential Amounts of Interim Information212 cited
  • 1977The Time-Series Behavior of Quarterly Earnings: Preliminary Evidence

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Cited by

  • 1985The effect of value line investment survey rank changes on common stock prices139 cited
  • n.d.Disclosure frequency and information asymmetry99 cited
  • 2002The Effect of Reporting Frequency on the Timeliness of Earnings: The Cases of Voluntary and Mandatory Interim Reports95 cited
  • 2003Voluntary Disclosure of Forward-Looking Earnings Information in Australia91 cited
  • 2008Influence of disclosure and governance on risk of US financial services firms following Sarbanes-Oxley89 cited
  • 2019Financial Reporting Frequency and Corporate Innovation87 cited
  • 2000The Incremental Information Content of SAS No. 59 Going-Concern Opinions86 cited
  • 2018Increased mandated disclosure frequency and price formation: evidence from the 8-K expansion regulation79 cited
  • 2006Information transparency and pricing in the municipal bond secondary market75 cited
  • 2016Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings61 cited
  • 2018Disclosure of climate risk information by the world’s largest companies59 cited
  • 1984The Association between the Magnitude of Quarterly Earnings Forecast Errors and Risk-Adjusted Stock Returns58 cited
  • 2020The Dark Side of Low Financial Reporting Frequency: Investors' Reliance on Alternative Sources of Earnings News and Excessive Information Spillovers48 cited
  • 1996INSIDER TRADING AND THE INFORMATION CONTENT OF EARNINGS44 cited
  • 2016Does the XBRL Reporting Format Provide Incremental Information Value? A Study Using XBRL Disclosures During the Voluntary Filing Program43 cited
  • 1989Firm Prominence and the Differential Information Content of Quarterly Earnings Announcements40 cited