Unexpected Earnings and Intraindustry Information Transfers: Further Evidence
研究季度盈余公告时，意外盈余与同行业未公告公司股票回报的关系，发现意外盈余驱动行业内信息传递，而非模型设定错误。
This paper provides evidence on the association between unexpected quarterly earnings information and the contemporaneous stock price behavior of announcing and nonannouncing firms in the same industry. Prior research provides evidence consistent with a positive sign and magnitude relation between the unsystematic stock returns of announcing and nonannouncing firms at earnings release dates, i.e., information transfers (Foster [1981] and Clinch and Sinclair [1987]). As these studies emphasize, however, such an association may arise from misspecification of the stock-return-generating process. To address this issue, we use unexpected earnings, not announcing firms' unsystematic stock returns, in tests of information transfers. Evidence consistent with information transfers when unexpected earnings are used as a proxy for the informativeness of earnings would reduce the likelihood of information transfers attributable to returns model misspecification, and would support the hypothesis that unexpected earnings, and not some unspecified information item, drive information transfers at earnings release dates. We find a positive sign and magnitude relation between the contemporaneous unsystematic stock returns of announcing and nonannouncing firms at earnings release dates and between unexpected earnings of announcing firms and unsystematic stock returns of nonannouncing