收益
保守主义
经济
库存(枪支)
不对称
信息不对称
计量经济学
金融经济学
市场流动性
股票价格
货币经济学
会计
微观经济学
机械工程
古生物学
物理
量子力学
系列(地层学)
政治
政治学
法学
生物
工程类
作者
Zhuo Cheng,Jing Fang,Linda A. Myers
出处
期刊:The Accounting Review
[American Accounting Association]
日期:2023-09-27
卷期号:98 (6): 97-124
被引量:1
标识
DOI:10.2308/tar-2018-0629
摘要
ABSTRACT The larger association between earnings and contemporaneous returns for negative returns than for positive returns is often attributed to conditional conservatism. We reason that this asymmetry may also be driven by the lack of timeliness with which stock price incorporates bad news relative to good news. Consistent with our reasoning, we show that when stock price incorporates bad news with delay, the asymmetry can exist in the absence of conditional conservatism. This suggests the testable hypothesis that the asymmetry decreases (increases) with factors that facilitate (impede) the incorporation of bad news into stock price. Using stock liquidity to test this hypothesis, we find that the earnings-return asymmetry decreases as stock liquidity increases. Our findings support the view that variation in the earnings-return asymmetry also reflects variation in the quality of the return generation process. Data Availability: Data are available from public sources cited in the text. JEL Classifications: G14; G40; M4; M40; M41.
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