An empirical investigation of the properties of sequential disclosures to the equity markets /
| Main Author: | |
|---|---|
| Other Authors: | , , |
| Format: | Thesis Book |
| Language: | English |
| Published: |
1991.
|
| Subjects: | |
| Online Access: | Link to OAKTrust copy |
| Abstract: | This paper is a presentation of an empirical research study that measured the information content of a sequence of disclosures for a sub-sample of the firms that make up the Standard and Poor's 500 Index. Multiple methods were used to determine the informativeness to the equity market of the accounting disclosures in relation to previous, contemporaneous, and subsequent information releases. The two methods used to determine market reaction to the information--market model residual analysis and intervention analysis--allow both a portfolio approach to the market impact and a firm-by-firm approach. The results were indicative of the additive nature of disclosures of financial information surrounding the annual earnings release date. These results imply that the observed leakage/drift phenomena is caused by additional disclosures that related to the earnings per share change. The power of the procedures used provided superior results over the extant accounting literature of market reaction research. Intervention analysis proved to be a superior model over the market model computations of abnormal returns. A content analysis of the narrative portion of the annual report was performed. The results of the content analysis showed that the content of the president's letter to shareholders (PLS) was reflective of earnings variability. A maximum likelihood factor analysis was performed on the word frequencies. The computed factor scores for the PLS showed the highest loadings on downward direction theme with future and past tense verbs and numbers. The management discussion and analysis (MDA) portion of the annual report was observed to be more reflective of size, industry, and the earnings level of the firm. The factor scores for the MDA were related to fewer descriptive word themes than those of the PLS. The most prominent word themes were company names, general economy conditions, and world geographic locations. The most significant conclusion of the study was that both the quantitative (change in earnings per share) and the qualitative commentary (management's narrative) features of the annual report are jointly important in explaining the cross-sectionally differing market reactions to annual earnings announcements. |
|---|---|
| Item Description: | Typescript (photocopy). Vita. "Major subject: Accounting." |
| Physical Description: | x, 122 leaves : illustrations ; 29 cm |
| Bibliography: | Includes bibliographical references. |