Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns
研究发现盈利公告前负面消息的交易成本相对正面消息上升，这种非对称性源于金融中介不对称提供流动性以规避公告风险，导致价格出现可预测的上涨偏误并在公告后反转，为盈利新闻的收益率反应和公告风险溢价提前出现等谜题提供了新解释。
ABSTRACT We show that the cost of trading on negative news, relative to positive news, increases before earnings announcements. Our evidence suggests that this asymmetry is due to financial intermediaries reducing their exposure to announcement risks by providing liquidity asymmetrically. This asymmetry creates a predictable upward bias in prices that increases preannouncement, and subsequently reverses, confounding short‐window announcement returns as measures of earnings news and risk premia. These findings provide an alternative explanation for asymmetric return reactions to firms' earnings news, and help explain puzzling prior evidence that announcement risk premia precede the actual announcements. Our study informs methods for research centering on earnings announcements and offers a possible explanation for patterns in returns around anticipated periods of heightened inventory risks, including alternative firm‐level, industry‐level, and macroeconomic information events.