The Relation Between Investor Uncertainty and Market Reactions to Earnings Announcements: Evidence from the Property‐Casualty Insurance Industry in the USA
研究分析师预测特征衡量的投资者不确定性如何影响盈余公告的股价反应，发现Barron等人提出的综合不确定性指标比简单离散度更全面，且预披露不确定性显著决定盈余发布的价格反应。
Abstract: This paper investigates the relationship between investor uncertainty, gauged by properties of analysts’ forecasts, and the stock market response to earnings. We find that uncertainty is best characterized by a comprehensive measure recently proposed by Barron, Kim, Lim and Stevens (1998) , BKLS. The BKLS measure is related to uncertainty‐inducing events, as well as factors that affect the difficulty faced by analysts in forecasting earnings. We conclude that, first, pre‐disclosure uncertainty is a significant determinant of the price reaction to the earnings release, and second, BKLS is a more comprehensive measure of uncertainty than simple dispersion.