Insider trading, future earnings, and post-earnings announcement drift

Journal of Accounting and Public Policy - Tập 42 - Trang 107117 - 2023
Lyungmae Choi1, Lucile Faurel2, Stephen A. Hillegeist2
1Department of Accountancy, City University of Hong Kong, Hong Kong, China
2School of Accountancy, W. P. Carey School of Business, Arizona State University, United States

Tài liệu tham khảo

Aboody, 2000, Information asymmetry, R&D, and insider gains, J. Financ., 55, 2747, 10.1111/0022-1082.00305 Akins, 2012, Investor competition over information and the pricing of information asymmetry, Account. Rev., 87, 35, 10.2308/accr-10157 Antle, 1994, Multiple sources of information, valuation, and accounting earnings, J. Account. Audit. Finance., 94, 675, 10.1177/0148558X9400900403 Ayers, 2003, Evidence that analyst following and institutional ownership accelerate the pricing of future earnings, Rev. Acc. Stud., 8, 47, 10.1023/A:1022647822683 Badertscher, 2011, Informed trading and the market reaction to accounting restatements, Account. Rev., 86, 1519, 10.2308/accr-10093 Balakrishnan, 2010, Post loss/profit announcement drift, J. Account. Econ., 50, 20, 10.1016/j.jacceco.2009.12.002 Ball, 1996, How naive is the stock market’s use of earnings information?, J. Account. Econ., 21, 319, 10.1016/0165-4101(96)00420-X Barber, 1997, Detecting long-run abnormal stock returns: the empirical power and specification of test statistics, J. Financ. Econ., 43, 341, 10.1016/S0304-405X(96)00890-2 Bartov, 2016, Sarbanes-oxley act and patterns in stock returns around executive stock option exercise disclosures, Account. Financ., 56, 297, 10.1111/acfi.12100 Bartov, 2000, Investor sophistication and patterns in stock returns after earnings announcements, Account. Rev., 75, 43, 10.2308/accr.2000.75.1.43 Beneish, 2002, Insider trading, earnings quality, and accrual mispricing, Account. Rev., 77, 755, 10.2308/accr.2002.77.4.755 Ben-Rephael, 2017, It depends on where you search: institutional investor attention and underreaction to news, Rev. Financ. Stud., 30, 3009, 10.1093/rfs/hhx031 Bernard, 1989, Post-earnings-announcement drift: delayed price response or risk premium?, J. Account. Res., 27, 1, 10.2307/2491062 Bernard, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, J. Account. Econ., 13, 305, 10.1016/0165-4101(90)90008-R Bernhardt, 1995, Investment and insider trading, Rev. Financ. Stud., 8, 501, 10.1093/rfs/8.2.501 Bhattacharya, 2014, Insider trading controversies: a literature review, Annu. Rev. Financ. Econ., 6, 385, 10.1146/annurev-financial-110613-034422 Bhushan, 1994, An informational efficiency perspective on the post-earnings announcement drift, J. Account. Econ., 18, 45, 10.1016/0165-4101(94)90018-3 Billings, 2016, Strategic management guidance and insider trading activities, J. Account. Publ. Policy, 35, 84, 10.1016/j.jaccpubpol.2015.08.004 Bradshaw, 2002, GAAP versus the street: an empirical assessment of two alternative definitions of earnings, J. Account. Res., 40, 41, 10.1111/1475-679X.00038 Brav, 2002, Competing theories of financial anomalies, Rev. Financ. Stud., 15, 575, 10.1093/rfs/15.2.575 Brennan, 1993, Investment analysis and the adjustment of stock prices to common information, Rev. Financ. Stud., 6, 799, 10.1093/rfs/6.4.799 Brown, 2009, The effect of earnings surprises on information asymmetry, J. Account. Econ., 47, 208, 10.1016/j.jacceco.2008.12.002 Brown, 1988, The superiority of analyst forecasts as measures of expectations: evidence from earnings, J. Financ., 33, 1, 10.1111/j.1540-6261.1978.tb03385.x Cao, 2012, Earnings volatility, post–earnings announcement drift, and trading frictions, J. Account. Res., 50, 41, 10.1111/j.1475-679X.2011.00425.x Carhart, 1997, On persistence in mutual fund performance, J. Financ., 52, 57, 10.1111/j.1540-6261.1997.tb03808.x Carlton, 1983, The regulation of insider trading, Stanf. Law Rev., 35, 857, 10.2307/1228706 Chordia, 2009, Liquidity and the post-earnings-announcement drift, Financ. Anal. J., 65, 18, 10.2469/faj.v65.n4.3 Cohen, 2012, Decoding inside information, J. Financ., 67, 1009, 10.1111/j.1540-6261.2012.01740.x Collins, 1989, An analysis of intertemporal and cross-sectional determinants of earnings response coefficients, J. Account. Econ., 11, 143, 10.1016/0165-4101(89)90004-9 Collins, 2017, The effects of firm growth and model specification choices on tests of earnings management in quarterly settings, Account. Rev., 92, 69, 10.2308/accr-51551 Core, 2006, Stock market anomalies: What can we learn from repurchases and insider trading?, Rev. Acc. Stud., 11, 49, 10.1007/s11142-006-6395-y Damodaran, 1993, Insider trading as a signal of private information, Rev. Financ. Stud., 6, 79, 10.1093/rfs/6.1.79 Dargenidou, 2018, Insider trading and the post-earnings announcement drift, J. Bus. Financ. Account., 45, 482, 10.1111/jbfa.12305 Dechow, 2016, SEC comment letters and insider sales, Account. Rev., 91, 401, 10.2308/accr-51232 Easton, 1989, Cross-sectional variation in the stock market response to accounting earnings announcements, J. Account. Econ., 11, 117, 10.1016/0165-4101(89)90003-7 Fox, 2018, Informed trading and its regulation, J. Corp. Law, 43, 817 Francis, 2007, Information uncertainty and post-earnings-announcement-drift, J. Bus Financ. Account., 34, 403, 10.1111/j.1468-5957.2007.02030.x Freeman, 1989, The multiperiod information content of accounting earnings: confirmations and contradictions of previous earnings reports, J. Account. Res., 27, 49, 10.2307/2491064 Freeman, 1992, A nonlinear model of security price responses to unexpected earnings, J. Account. Res., 30, 185, 10.2307/2491123 Ghosh, 2005, Sustained earnings and revenue growth, earnings quality, and earnings response coefficients, Rev. Acc. Stud., 10, 33, 10.1007/s11142-004-6339-3 Givoly, 1985, Insider trading and the exploitation of inside information: some empirical evidence, J. Bus., 58, 69, 10.1086/296283 Gonedes, 1978, Corporate signaling, external accounting, and capital market equilibrium: evidence on dividends, income, and extraordinary items, J. Account. Res., 16, 26, 10.2307/2490411 Gow, 2010, Correcting for cross-sectional and time-series dependence in accounting research, Account. Rev., 85, 483, 10.2308/accr.2010.85.2.483 Hillier, 2002, Are trading bans effective? Exchange regulation and corporate insider transactions around earnings announcements, J. Corp Finance, 8, 393, 10.1016/S0929-1199(01)00046-3 Hsu, 2021, Does voluntary balance sheet disclosure mitigate post-earnings-announcement drift?, J. Account. Publ. Policy, 40, 1, 10.1016/j.jaccpubpol.2021.106821 Hu, 1997, The insider trading debate, Econ. Rev., 34 Huddart, 2007, Jeopardy, non-public information, and insider trading around SEC 10-K and 10-Q filings, J. Account. Econ., 43, 3, 10.1016/j.jacceco.2006.06.003 Hutton, 2003, The role of supplementary statements with management earnings forecasts, J. Account. Res., 41, 867, 10.1046/j.1475-679X.2003.00126.x Jagolinzer, 2011, Corporate governance and the information content of insider trades, J. Account. Res., 49, 1249, 10.1111/j.1475-679X.2011.00424.x Jeng, 2003, Estimating the returns to insider trading: a performance-evaluation perspective, Rev. Econ. Stat., 85, 453, 10.1162/003465303765299936 Kabir, 1996, Insider trading restrictions and the stock market: evidence from the amsterdam stock exchange, Eur. Econ. Rev., 40, 1591, 10.1016/0014-2921(95)00037-2 Ke, 2003, What insiders know about future earnings and how they use it: evidence from insider trades, J. Account. Econ., 35, 315, 10.1016/S0165-4101(03)00036-3 Kim, 1994, Market liquidity and volume around earnings announcements, J. Account. Econ., 17, 41, 10.1016/0165-4101(94)90004-3 Kolasinski, 2010, Are corporate managers savvy about their stock price? Evidence from insider trading after earnings announcements, J. Account. Publ. Policy, 29, 27, 10.1016/j.jaccpubpol.2009.10.004 Kormendi, 1987, Earnings innovations, earnings persistence and stock returns, J. Bus., 60, 323, 10.1086/296400 Kothari, 1997, Measuring long-horizon security price performance, J. Financ. Econ., 43, 301, 10.1016/S0304-405X(96)00899-9 Lakonishok, 2001, Are insider trades informative?, Rev. Financ. Stud., 14, 79, 10.1093/rfs/14.1.79 Leland, 1992, Insider trading: should it be prohibited?, J. Polit. Econ., 100, 859, 10.1086/261843 Li, 2010, The information content of forward-looking statements in corporate filings? A naïve Bayesian machine learning approach, J. Account. Res., 48, 1049, 10.1111/j.1475-679X.2010.00382.x Li, 2011, How well do investors understand loss persistence?, Rev. Acct. Stud., 16, 630, 10.1007/s11142-011-9157-4 Livnat, 2006, Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts, J. Account. Res., 44, 177, 10.1111/j.1475-679X.2006.00196.x Lundholm, 1991, Public signals and the equilibrium allocation of private information, J. Account. Res., 29, 322, 10.2307/2491052 Manne, 1966 Mendenhall, 2004, Arbitrage risk and post-earnings-announcement drift, J. Bus., 77, 875, 10.1086/422627 Narayanamoorthy, 2006, Conservatism and cross-sectional variation in the post-earnings announcement drift, J. Account. Res., 44, 763, 10.1111/j.1475-679X.2006.00218.x Ng, 2008, Implications of transaction costs for the post–earnings announcement drift, J. Account. Res., 46, 661, 10.1111/j.1475-679X.2008.00290.x Noe, 1999, Voluntary disclosures and insider transactions, J. Account. Econ., 27, 305, 10.1016/S0165-4101(99)00014-2 Ohlson, 1989, Ungarbled earnings and dividends: an analysis and extension of the Beaver, Lambert, and Morse valuation model, J. Account. Econ., 11, 109, 10.1016/0165-4101(89)90002-5 Park, 2004, Insider sales and earnings management, J. Account. Publ. Policy, 23, 381, 10.1016/j.jaccpubpol.2004.07.003 Penman, 1985, A comparison of the information content of insider trading and management earnings forecasts, J. Financ. Quant. Anal., 20, 1, 10.2307/2330674 Piotroski, 2005, Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations?, J. Account. Econ., 39, 55, 10.1016/j.jacceco.2004.01.003 Piotroski, 2008, Evidence on the non-linear relation between insider trading decisions and future earnings information, J. Law Econ. Policy, 4, 409 Ravina, 2010, What do independent directors know? Evidence from their trading, Rev. Financ. Stud., 23, 962, 10.1093/rfs/hhp027 Rees, 2007, The effect of meeting or beating revenue forecasts on the association between quarterly returns and earnings forecast errors, Contemp. Account. Res., 24, 259, 10.1506/G767-1674-5686-5375 Rendleman, 1987, Further insight into the standardized unexpected earnings anomaly: size and serial correlation effects, Financ. Rev., 22, 131, 10.1111/j.1540-6288.1987.tb00322.x Roulstone, 2008 Seyhun, 1986, Insiders’ profits, costs of trading, and market efficiency, J. Financ. Econ., 16, 189, 10.1016/0304-405X(86)90060-7 Soffer, 1999, Post-earnings announcement drift and the dissemination of predictable information, Contemp. Account. Res., 16, 305, 10.1111/j.1911-3846.1999.tb00583.x Udpa, 1996, Insider trading and the information content of earnings, J. Bus Fin. Account., 23, 1069, 10.1111/j.1468-5957.1996.tb01159.x Veenman, 2012, Disclosures of insider purchases and the valuation implications of past earnings signals, Account. Rev., 87, 313, 10.2308/accr-10162 Zhang, 2008, Analyst responsiveness and the post-earnings-announcement drift, J. Account. Econ., 46, 201, 10.1016/j.jacceco.2008.04.004 Zhang, 2012, The effect of ex ante management forecast accuracy on the post-earnings-announcement drift, Account. Rev., 87, 1791, 10.2308/accr-50197