The Ambiguity of Earnings Announcements

References

• Anderson EW, Ghysels E, Juergens JL (2009) The impact of risk and uncertainty on expected returns. J. Financial Econom. 94(2):233–263.Crossref, Google Scholar
• Basu S (1997) The conservatism principle and the asymmetric timeliness of earnings. J. Accounting Econom. 24(1):3–37.Crossref, Google Scholar
• Bloom N, Bond S, Van Reenen J (2007) Uncertainty and investment dynamics. Rev. Econom. Stud. 74(2):391–415.Crossref, Google Scholar
• Camerer C, Weber M (1992) Recent developments in modeling preferences: Uncertainty and ambiguity. J. Risk Uncertainty 5(4):325–370.Crossref, Google Scholar
• Cao HH, Wang T, Zhang HH (2005) Model uncertainty, limited market participation, and asset prices. Rev. Financial Stud. 18(4):1219–1251.Crossref, Google Scholar
• Cao HH, Han B, Hirshleifer D, Zhang HH (2011) Fear of the unknown: Familiarity and economic decisions. Rev. Finance 15(1):173–206.Crossref, Google Scholar
• Caskey JA (2009) Information in equity markets with ambiguity-averse investors. Rev. Financial Stud. 22(9):3595–3627.Crossref, Google Scholar
• Condie S (2008) Living with ambiguity: Prices and survival when investors have heterogeneous preferences for ambiguity. Econom. Theory 36(1):81–108.Crossref, Google Scholar
• Condie S, Ganguli JV (2011) Ambiguity and rational expectations equilibria. Rev. Econom. Stud. 78(3):821–845.Crossref, Google Scholar
• Dow J, Werlang S (1992) Uncertainty aversion, risk aversion, and the optimal choice of portfolio. Econometrica 60(1):197–204.Crossref, Google Scholar
• Dye RA (1988) Earnings management in an overlapping generations model. J. Accounting Res. 26(2):195–235.Crossref, Google Scholar
• Dye RA, Sridhar S (2004) Reliability-relevance trade-offs and the efficiency of aggregation. J. Accounting Res. 42(1):51–88.Crossref, Google Scholar
• Dye RA, Sridhar SS (2008) A positive theory of flexibility in accounting standards. J. Accounting Econom. 46(2–3):312–333.Crossref, Google Scholar
• Easley D, O’Hara M (2009) Ambiguity and nonparticipation: The role of regulation. Rev. Financial Stud. 22(5):1817–1843.Crossref, Google Scholar
• Easley D, O’Hara M (2010a) Liquidity and valuation in an uncertain world. J. Financial Econom. 97(1):1–11.Crossref, Google Scholar
• Easley D, O’Hara M (2010b) Microstructure and ambiguity. J. Finance 65(5):1817–1846.Crossref, Google Scholar
• Easley D, O’Hara M, Yang L (2014) Opaque trading, disclosure, and asset prices: Implications for hedge fund regulation. Rev. Financial Stud. 27(4):1190–1237.Crossref, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the Savage axioms. Quart. J. Econom. 75(4):643–669.Crossref, Google Scholar
• Epstein LG, Schneider M (2007) Learning under ambiguity. Rev. Econom. Stud. 74(4):1275–1303.Crossref, Google Scholar
• Epstein LG, Schneider M (2008) Ambiguity, information quality, and asset pricing. J. Finance 63(1):197–228.Crossref, Google Scholar
• Epstein LG, Schneider M (2010) Ambiguity and asset markets. Annual Rev. Financial Econom. 2(1):315–346.Crossref, Google Scholar
• Epstein LG, Wang T (1994) Intertemporal asset pricing under Knightian uncertainty. Econometrica 62(2):283–322.Crossref, Google Scholar
• Fischer PE, Verrecchia RE (2000) Reporting bias. Accounting Rev. 75(2):229–245.Crossref, Google Scholar
• Freeman RN, Tse SY (1992) A nonlinear model of security price responses to unexpected earnings. J. Accounting Res. 30(2):185–209.Crossref, Google Scholar
• Gajdos T, Hayashi T, Tallon JM, Vergnaud JC (2008) Attitude towards imprecise information. J. Econom. Theory 140:27–65.Crossref, Google Scholar
• Garlappi L, Uppal R, Wang T (2007) Portfolio selection with parameter and model uncertainty: A multi-prior approach. Rev. Financial Stud. 20(1):41–81.Crossref, Google Scholar
• Gilboa I, Schmeidler D (1989) Maxmin expected utility with non-unique prior. J. Math. Econom. 18(2):141–153.Crossref, Google Scholar
• Glosten LR (1989) Insider trading, liquidity, and the role of the monopolist specialist. J. Bus. 62(2):211–235.Crossref, Google Scholar
• Gómez E, Gómez-Villegas MA, Marín JM (2003) A survey on continuous elliptical vector distributions. Revista Matemática Complutense 16(1):345–361.Google Scholar
• Guttman I, Kadan O, Kandel E (2006) A rational expectations theory of kinks in financial reporting. Accounting Rev. 81(4):811–848.Crossref, Google Scholar
• Hayn C (1995) The information content of losses. J. Accounting Econom. 20(2):125–153.Crossref, Google Scholar
• Healy PM, Wahlen JM (1999) A review of the earnings management literature and its implications for standard setting. Accounting Horizons 13(4):365–383.Crossref, Google Scholar
• Illeditsch PK (2011) Ambiguous information, portfolio inertia, and excess volatility. J. Finance 66(6):2213–2247.Crossref, Google Scholar
• Jahan-Parvar MR, Liu H (2014) Ambiguity aversion and asset prices in production economies. Rev. Financial Stud. 27(10):3060–3097.Crossref, Google Scholar
• Ju N, Miao J (2012) Ambiguity, learning, and asset returns. Econometrica 80(2):559–591.Google Scholar
• Kanodia CS (2006) Accounting disclosure and real effects. Foundations Trends Accounting 1(3):167–258.Crossref, Google Scholar
• Kanodia C, Singh R, Spero AE (2005) Imprecision in accounting measurement: Can it be value enhancing? J. Accounting Res. 43(3):487–519.Crossref, Google Scholar
• Kartik N, Ottaviani M, Squintani F (2007) Credulity, lies, and costly talk. J. Econom. Theory 134(1):93–116.Crossref, Google Scholar
• Knight FH (1921) Risk, Uncertainty and Profit (Hart, Schaffner and Marx, New York).Google Scholar
• Leippold M, Trojani F, Vanini P (2008) Learning and asset prices under ambiguous information. Rev. Financial Stud. 21(6):2565–2597.Crossref, Google Scholar
• Leland HE, Pyle DH (1977) Informational asymmetries, financial structure, and financial intermediation. J. Finance 32(2):371–387.Crossref, Google Scholar
• Machina MJ, Siniscalchi M (2014) Ambiguity and ambiguity aversion. Machina M, Viscusi K, eds. Handbook of the Economics of Risk and Uncertainty, vol. 1 (North-Holland, Amsterdam), 729–807.Crossref, Google Scholar
• Mailath GJ (1987) Incentive compatibility in signaling games with a continuum of types. Econometrica 55(6):1349–1365.Crossref, Google Scholar
• Mailath GJ, von Thadden E-L (2013) Incentive compatibility and differentiability: New results and classic applications. J. Econom. Theory 148(5):1841–1861.Crossref, Google Scholar
• Mele A, Sangiorgi F (2015) Uncertainty, information acquisition, and price swings in asset markets. Rev. Econom. Stud. 82(4):1533–1567.Crossref, Google Scholar
• Ozsoylev H, Werner J (2011) Liquidity and asset prices in rational expectations equilibrium with ambiguous information. Econom. Theory 48(2):469–491.Crossref, Google Scholar
• Quinzii M, Rochet JC (1985) Multidimensional signalling. J. Math. Econom. 14(3):261–284.Crossref, Google Scholar
• Savage LJ (1954) The Foundations of Statistics (John Wiley & Sons, New York).Google Scholar
• Stein JC (1989) Efficient capital markets, inefficient firms: A model of myopic corporate behavior. Quart. J. Econom. 104(4):655–669.Crossref, Google Scholar
• Stigler GJ (1971) The theory of economic regulation. Bell J. Econom. 2(1):3–21.Crossref, Google Scholar
• Subramanyam KR (1996) Uncertain precision and price reactions to information. Accounting Rev. 71(2):207–219.Google Scholar
• Ui T (2011) The ambiguity premium vs. the risk premium under limited market participation. Rev. Finance 15(2):245–275.Crossref, Google Scholar
• Uppal R, Wang T (2003) Model misspecification and underdiversification. J. Finance 58(6):2465–2486.Crossref, Google Scholar
• von Neumann J, Morgenstern O (1947) Theory of Games and Economic Behavior, 2nd ed. (Princeton University Press, Princeton, NJ).Google Scholar
• Wald A (1950) Statistical Decision Functions (Wiley, New York).Google Scholar