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Implications of strategic disclosure of favourable news for capital markets-based research

Frantz, Pascal and Instefjord, Norvald (2007) Implications of strategic disclosure of favourable news for capital markets-based research. Social Science Research Network.

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Abstract

This paper derives the implications of strategic disclosure for the earnings-returns relation within a setting derived from Dye (1985), Jung and Kwon (1988), and Ohlson (1995), in which firms' managers disclose favourable earnings forecasts and withhold unfavourable earnings forecasts. It shows that such strategic disclosure by managers leads to concavity in the relation between contemporaneous reported accounting earnings and stock returns. This paper hence provide a new and intuitive explanation for the concavity in this relation reported in empirical studies.

Item Type: Monograph (Working Paper)
Official URL: http://papers.ssrn.com/
Additional Information: © 2007 The Authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce > HF5601 Accounting
Journal of Economic Literature Classification System: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information
G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
M - Business Administration and Business Economics; Marketing; Accounting > M4 - Accounting and Auditing > M41 - Accounting
Sets: Departments > Accounting
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 10 Aug 2012 10:32
URL: http://eprints.lse.ac.uk/45322/

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