Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts

Abstract : Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesise that analyst forecasts for smaller companies are relatively more ambiguous; hence they are priced pessimistically by ambiguity-averse investors. As the quarter comes to a close and ambiguity gradually subsides, the stock prices of smaller companies rise to correct this pessimism, creating the size effect. Our results support these hypotheses.
Type de document :
Article dans une revue
European Financial Management, 2014, 20 (3), pp.633-651. 〈10.1111/j.1468-036X.2012.00651.x〉
Liste complète des métadonnées

http://hal-audencia.archives-ouvertes.fr/hal-01002860
Contributeur : Galariotis Emilios <>
Soumis le : vendredi 6 juin 2014 - 20:55:50
Dernière modification le : mardi 3 février 2015 - 15:10:35

Lien texte intégral

Identifiants

Collections

Citation

Emilios C. Galariotis, Constantinos Antoniou, Daniel Read. Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts. European Financial Management, 2014, 20 (3), pp.633-651. 〈10.1111/j.1468-036X.2012.00651.x〉. 〈hal-01002860〉

Partager

Métriques

Consultations de la notice

195