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- Title
Price Response to Earnings News: The Effects of Past and Current Market States.
- Authors
Asem, Ebenezer; Baulkaran, Vishaal
- Abstract
We study whether the price reaction to earnings news is sensitive to the past and the current market states. Following advancing markets, the reaction to positive earnings news is weaker when the market continues advancing than when it transitions to a declining state, while the reaction to negative news is independent of the current market state. Following declining markets, the reaction to negative news is stronger when the market continues declining than when it transitions to an advancing state. In contrast, the reaction to positive news is weaker when the market continues declining than when it transitions to an up state. Our results show that market dynamics is an important determinant of investors' reaction to earnings news.
- Subjects
STOCK exchanges &; current events; FINANCIAL market reaction; SECURITIES trading; STOCK prices; EARNINGS forecasting
- Publication
Journal of Corporate Accounting & Finance (Wiley), 2018, Vol 29, Issue 3, p32
- ISSN
1044-8136
- Publication type
Article
- DOI
10.1002/jcaf.22343