Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings
Published Online:31 May 2016https://doi.org/10.1287/mnsc.2015.2408
References
- (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
- (1968) An empirical evaluation of accounting income numbers. J. Accounting Res. 6(2):159–178.Crossref, Google Scholar
- (1984) Differential information and the small firm effect. J. Financial Econom. 13(2):283–294.Crossref, Google Scholar
- (1985) Differential information and security market equilibrium. J. Financial Quant. Anal. 20(4):407–422.Crossref, Google Scholar
- (1994) Public information arrival. J. Finance 49(4):1331–1346.Crossref, Google Scholar
- (2009) Does investor recognition predict returns? J. Financial Econom. 91(2):208–226.Google Scholar
- (2002) A re-examination of disclosure level and the expected cost of equity capital. J. Accounting Res. 40(1):21–40.Crossref, Google Scholar
- (2010) The idiosyncratic volatility puzzle: Time trend or speculative episodes? Rev. Financial Stud. 23(2):863–899.Crossref, Google Scholar
- (2007) The effect of reporting frequency on the timeliness of earnings: The cases of voluntary and mandatory interim reports. J. Accounting Econom. 43(2–3):181–217.Crossref, Google Scholar
- (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. J. Finance 56(1):1–43.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2012) Idiosyncratic return volatility and the information quality underlying managerial discretion. J. Financial Quant. Anal. 47(4):873–899.Crossref, Google Scholar
- (2016) Informed trading and expected returns. Working paper, Yale School of Management, New Haven, CT.Google Scholar
- (2012) Decoding inside information. J. Finance 67(3):1009–1043.Crossref, Google Scholar
- (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1651.Crossref, Google Scholar
- (2002) The quality of accruals and earnings: The role of accrual estimation errors. Accounting Rev. 77(Supplement):35–59.Crossref, Google Scholar
- (2003) Why are earnings kinky? An examination of the earnings management explanation. Rev. Accounting Stud. 8(2–3):355–384.Crossref, Google Scholar
- (2009) Why is PIN priced? J. Financial Econom. 91(2):119–138.Google Scholar
- (2004) Information and the cost of capital. J. Finance 59(4):1553–1583.Crossref, Google Scholar
- (2002) Is information risk a determinant of asset returns? J. Finance 57(5):2185–2221.Crossref, Google Scholar
- (2001) How stock splits affect trading: A microstructure approach. J. Financial Quant. Anal. 36(1):25–51.Crossref, Google Scholar
- (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2006) Profitability, investment and average returns. J. Financial Econom. 82(3):491–518.Crossref, Google Scholar
- (2008) Dissecting anomalies. J. Finance 63(4): 1653–1678.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2009) Media coverage and the cross-section of stock returns. J. Finance 64(5):2023–2052.Crossref, Google Scholar
- (1984) Earnings releases, anomalies, and the behavior of security returns. Accounting Rev. 59(4):574–603.Google Scholar
- (2012) Financial reporting frequency, information asymmetry, and the cost of equity. J. Accounting Econom. 54(2–3):132–149.Crossref, Google Scholar
- (2015) Disclosure timing, information asymmetry, and stock returns: Evidence from 8-K filing texts. Working paper, University of Pennsylvania, Philadelphia.Google Scholar
- (2015) Information diversity and complementarities in trading and information acquisition. J. Finance 70(4): 1723–1765.Crossref, Google Scholar
- (2013) Can more precise public information increase information asymmetry? Evidence from earnings. Working paper, Harvard Business School, Boston.Google Scholar
- (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
- (2011) Is information risk priced? Evidence from price discovery of large trades. Working paper, Nanyang Technological University, Singapore.Google Scholar
- (2012) Individual investor trading and return patterns around earnings announcements. J. Finance 67(2):639–680.Crossref, Google Scholar
- (2012) Testing asymmetric-information asset pricing models. Rev. Financial Stud. 25(5):1366–1413.Crossref, Google Scholar
- (1994) Market liquidity and volume around earnings announcements. J. Accounting Econom. 17(2):41–67.Crossref, Google Scholar
- (2011) News arrival and trading game invariance. Working paper, University of Maryland, College Park.Google Scholar
- (2012) Information asymmetry, information precision, and the cost of capital. Rev. Finance 16(1):1–29.Crossref, Google Scholar
- (2006) The SEC Form 8-K: Full disclosure or fully diluted? The quest for improved financial market transparency. Wake Forest Law Rev. 41:913–938.Google Scholar
- (1993) Spreads, depths, and the impact of earnings information: An intraday analysis. Rev. Financial Stud. 6(2):345–374.Crossref, Google Scholar
- (2008) Jumps in financial markets: A new nonparametric test and jump dynamics. Rev. Financial Stud. 21(6): 2535–2563.Crossref, Google Scholar
- (1981) Voluntary corporate disclosure: The case of interim reporting. J. Accounting Res. 19(Supplement):50–77.Crossref, Google Scholar
- (2008) Investor recognition and stock returns. Rev. Accounting Stud. 13(2):327–361.Crossref, Google Scholar
- (2010) The new Form 8-K disclosures. Rev. Accounting Stud. 15(4):752–778.Crossref, Google Scholar
- (1983) The effect of the information environment on the relationship between financial disclosure and security price variability. J. Accounting Econom. 5:49–74.Crossref, Google Scholar
- (1987) A simple model of capital market equilibrium with incomplete information. J. Finance 42(3):483–510.Crossref, Google Scholar
- (1994) The impact of public information on the stock market. J. Finance 49(3):923–950.Crossref, Google Scholar
- (2009) Is PIN priced risk? J. Accounting Econom. 47(3):226–243.Crossref, Google Scholar
- (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59(2):347–370.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2013) Media coverage and hedge-fund returns. Financial Anal. J. 69(3):57–75.Crossref, Google Scholar
- (2014) The media and the diffusion of information in financial markets: Evidence from newspaper strikes. J. Finance 69(5): 2007–2043.Crossref, Google Scholar
- (2008) Share issuance and cross-sectional returns. J. Finance 63(2):921–945.Crossref, Google Scholar
- (1988) R2. J. Finance 43(3):541–566.Google Scholar
- (1996) Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Rev. 71(3): 289–315.Google Scholar
- (2010) Does public financial news resolve asymmetric information? Rev. Financial Stud. 23(9):3520–3557.Crossref, Google Scholar
- (2008) More than words: Quantifying language to measure firms’ fundamentals. J. Finance 63(3):1437–1467.Crossref, Google Scholar
- (2006) Media frenzies in markets for financial information. Amer. Econom. Rev. 96(3):577–601.Crossref, Google Scholar
- (2006) Why did individual stocks become more volatile? J. Bus. 79(1):259–292.Crossref, Google Scholar
- (2015) Is information risk priced? Evidence from abnormal idiosyncratic volatility. Working paper, Queen’s University Belfast, Belfast, UK.Google Scholar
- (2006) Information uncertainty and stock returns. J. Finance 61(1):105–137.Crossref, Google Scholar
- (2010) A reexamination of the causes of time-varying stock return volatilities. J. Financial Quant. Anal. 45(03):663–684.Crossref, Google Scholar

