Overreaction to Intra‐industry Information Transfers?
研究发现，市场对早期发布盈余公告的公司信息过度反应，导致后期发布公告的公司股价先被错误带动，随后在自身公告时被修正。
ABSTRACT Prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry. We document a stock market anomaly associated with this phenomenon of intra‐industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports. Apparently, the stock market overestimates the intra‐industry implications of early announcers' earnings for late announcers' earnings, and that overestimation is corrected when late announcers disclose their earnings.