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Option listing and the stock-price response to earnings announcements
16 references·5 citing·42 second hop
Option listing and the stock-price response to earnings announcements (1999)Option listing and the stock-price respon…The conservatism principle and the asymmetric timeliness of earnings1 (1997)The conservatism principle an…An informational efficiency perspective on the post-earnings announcement drift (1994)An informational efficiency p…Options, Short Sales, and Market Completeness (1993)Options, Short Sales, and Mar…A Nonlinear Model of Security Price Responses to Unexpected Earnings (1992)A Nonlinear Model of Security…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Options markets and stock return volatility (1989)Options markets and stock ret…The association between accounting earnings and security returns for large and small firms (1987)The association between accou…Firm size and the information content of prices with respect to earnings (1987)Firm size and the information…Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research (1987)Cross-Sectional Dependence an…Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements (1985)Predisclosure Information, Fi…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…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…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Informed Options Trading Before Corporate Events (2020)Informed Options Trading Befo…Sophisticated Investor Attention and Market Reaction to Earnings Announcements: Evidence From the SEC’s EDGAR Log Files (2019)Sophisticated Investor Attent…Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction? (2014)Unsophisticated Arbitrageurs …Options trading volume and stock price response to earnings announcements (2013)Options trading volume and st…Analysts' dividend forecasts (2002)Analysts' dividend forecastsCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Differential information and the small firm effect (1984)Earnings news and small traders (1992)Dividend Policy under Asymmetric Information (1985)Positive Accounting Theory (1985)The effect of international institutional factors on properties of accounting earnings (2000)Performance matched discretionary accrual measures (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Editor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)Mean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)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)Measuring security price performance (1980)Earnings Management During Import Relief Investigations (1991)Event Studies in Economics and Finance (1997)The Behavior of Stock-Market Prices (1965)Special Information and Insider Trading (1974)The theory and practice of econometrics (1986)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)Abnormal returns to a fundamental analysis strategy. (1998)Managerial Decisions and Long-Term Stock Price Performance (1998)The relationship between return and market value of common stocks (1981)Earnings Innovations, Earnings Persistence, and Stock Returns (1987)Reputation and Performance Among Security Analysts (1992)The Geography of Equity Analysis (2005)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Using daily stock returns (1985)Efficient Capital Markets: II (1991)
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References

  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
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  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1985Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements1,005 cited
  • 1987Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research548 cited
  • 1987The association between accounting earnings and security returns for large and small firms528 cited
  • 1992A Nonlinear Model of Security Price Responses to Unexpected Earnings521 cited
  • 1993Options, Short Sales, and Market Completeness463 cited
  • 1987Firm size and the information content of prices with respect to earnings453 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1994

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An informational efficiency perspective on the post-earnings announcement drift
346 cited
  • 1989Options markets and stock return volatility282 cited
  • Cited by

    • 2013Options trading volume and stock price response to earnings announcements52 cited
    • 2014Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?49 cited
    • 2019Sophisticated Investor Attention and Market Reaction to Earnings Announcements: Evidence From the SEC’s EDGAR Log Files31 cited
    • 2020Informed Options Trading Before Corporate Events31 cited
    • 2002Analysts' dividend forecasts19 cited