Giving context to accounting numbers: The role of news coverage

被引：9

作者：

Chen, Kuo-Tay ^{[1
]}

Lu, Hsin-Min ^{[2
]}

Chen, Tsai-Jyh ^{[3
]}

Li, Shu-Hsing ^{[1
,4
]}

Lian, Jian-Shuen ^{[1
]}

Chen, Hsinchun ^{[5
]}

机构：

[1] Natl Taiwan Univ, Dept Accounting, Taipei 10764, Taiwan

[2] Natl Taiwan Univ, Dept Informat Management, Taipei 10764, Taiwan

[3] Natl Chengchi Univ, Dept Risk Management & Insurance, Taipei 11623, Taiwan

[4] Tunghai Univ, Dept Accounting, Taichung 40704, Taiwan

[5] Univ Arizona, Dept Management Informat Syst, Tucson, AZ 85721 USA

来源：

DECISION SUPPORT SYSTEMS | 2011年 / 50卷 / 04期

基金：

美国国家科学基金会;

关键词：

Earnings response coefficient (ERC); Event study; News coverage effect; Information content of earnings; EARNINGS RESPONSE COEFFICIENTS; INFORMATION-CONTENT; STOCK-MARKET; RETURNS; ANNOUNCEMENTS; TIMELINESS; FORECASTS; PRICES;

D O I：

10.1016/j.dss.2010.08.025

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Accounting numbers such as earnings per share are an important information source that conveys the value of firms. Previous studies on the return-earnings relation have confirmed that stock prices react to the information content in accounting numbers. However, other information sources such as financial news may also contain value-relevant information and affect investors' reaction to earnings announcements. We quantify news coverage about S&P 500 companies in the Wall Street Journal (WSJ) before earnings announcements and model its interaction with the return-earnings relation. Our empirical results show that news coverage decreases the information content of unexpected earnings and thus leads to a lower earnings response coefficient (ERC) for firms with higher news coverage. Statistically significant interaction between news coverage and unexpected earnings was observed. News coverage does not impact cumulated abnormal returns directly. We further document that this finding is not driven by firm size. The results suggest that financial news may play an important role in conveying value-related information to the markets. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：673 / 679

页数：7

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