Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts - Audencia
Article Dans Une Revue European Financial Management Année : 2014

Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts

Emilios C. C Galariotis
  • Fonction : Auteur
  • PersonId : 928645
Constantinos Antoniou
  • Fonction : Auteur
Daniel Read
  • Fonction : Auteur

Résumé

Several authors have reported an unconditional size effect in returns around earnings announcements. In this study we show how this finding can be understood as resulting from ambiguity aversion. We hypothesise that analyst forecasts for smaller companies are relatively more ambiguous; hence they are priced pessimistically by ambiguity-averse investors. As the quarter comes to a close and ambiguity gradually subsides, the stock prices of smaller companies rise to correct this pessimism, creating the size effect. Our results support these hypotheses.

Dates et versions

hal-01002860 , version 1 (06-06-2014)

Identifiants

Citer

Emilios C. C Galariotis, Constantinos Antoniou, Daniel Read. Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts. European Financial Management, 2014, 20 (3), pp.633-651. ⟨10.1111/j.1468-036X.2012.00651.x⟩. ⟨hal-01002860⟩

Collections

AUDENCIA UNAM
106 Consultations
0 Téléchargements

Altmetric

Partager

More