Factors Associated with Differences in the Magnitude of Abnormal Returns Around NYSE Versus Nasdaq Firms’ Earnings Announcements
解释了一个会计学谜题：纳斯达克公司盈余公告周的异常回报为何高于纽交所公司。即使控制公司规模，这种差异仍存在。研究发现，增长机会差异而非信息环境差异是主因。
This study provides an explanation for the ‘exchange effect’ puzzle documented in prior accounting research. Grant (1980) finds that the magnitude of earnings announcement week abnormal returns is higher, on average, for firms traded over‐the‐counter than for NYSE firms. Atiase (1987) shows that this incremental ‘exchange effect’ persists even after controlling for firm size. We investigate potential explanations for this incremental exchange effect. We first show that even after controlling for differences in firm size, Nasdaq firms have less rich information environments and enjoy greater growth opportunities than NYSE firms. We then investigate whether differential predisclosure information environments and/or growth opportunities can explain the incremental exchange effect. The results indicate that although the absolute magnitude of the earnings announcement‐related abnormal returns is inversely related to proxies for the amount of predisclosure information, the incremental exchange effect cannot be explained by differences in the predisclosure information environment. In contrast, after controlling for differences in growth opportunities across NYSE versus Nasdaq firms, and investors’ heightened sensitivity to Nasdaq firms’ growth opportunities in particular, there is no significant incremental exchange effect (whether or not we control for predisclosure information). These results suggest that the incremental exchange effect puzzle documented in prior research is more likely to reflect growth‐related phenomena than differences in the predisclosure information environment.