Disclosure Similarity and Future Stock Return Comovement

Published Online:https://doi.org/10.1287/mnsc.2023.4915

References

  • Abramova I, Core JE, Sutherland A (2020) Institutional investor attention and firm disclosure. Accounting Rev. 95(6):1–21.CrossrefGoogle Scholar
  • Antón M, Polk C (2014) Connected stocks. J. Finance 69(3):1099–1127.CrossrefGoogle Scholar
  • Barberis N, Shleifer A, Wurgler J (2005) Comovement. J. Financial Econom. 75(2):283–317.CrossrefGoogle Scholar
  • Boone AL, White JT (2015) The effect of institutional ownership on firm transparency and information production. J. Financial Econom. 117(3):508–533.CrossrefGoogle Scholar
  • Botosan CA, Stanford M (2005) Managers’ motives to withhold segment disclosures and the effect of SFAS No. 131 on analysts’ information environment. Accounting Rev. 80(3):751–771.CrossrefGoogle Scholar
  • Box T (2018) Qualitative similarity and stock price comovement. J. Banking Finance 91(C):49–69.CrossrefGoogle Scholar
  • Boyer BH (2011) Style‐related comovement: Fundamentals or labels? J. Finance 66(1):307–332.CrossrefGoogle Scholar
  • Brockman P, Liebenberg I, Schutte M (2010) Comovement, information production, and the business cycle. J. Financial Econom. 97(1):107–129.CrossrefGoogle Scholar
  • Brown SV, Tucker JW (2011) Large‐sample evidence on firms’ year‐over‐year MD&A modifications. J. Accounting Res. 49(2):309–346.CrossrefGoogle Scholar
  • Bushee BJ (2001) Do institutional investors prefer near‐term earnings over long‐run value? Contemporary Accounting Res. 18(2):207–246.CrossrefGoogle Scholar
  • Cahill D, Baur DG, Liu Z, Yang JW (2020) I am a blockchain too: How does the market respond to companies’ interest in blockchain? J. Banking Finance 113:105740.CrossrefGoogle Scholar
  • Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.CrossrefGoogle Scholar
  • Chapman K, Green JR (2018) Analysts’ influence on managers’ guidance. Accounting Rev. 93(1):45–69.CrossrefGoogle Scholar
  • Chen H, Cohen L, Lou D (2016) Industry window dressing. Rev. Financial Stud. 29(12):3354–3393.CrossrefGoogle Scholar
  • Cheng SF, De Franco G, Jiang H, Lin P (2019) Riding the blockchain mania: Public firms’ speculative 8-K disclosures. Management Sci. 65(12):5901–5913.LinkGoogle Scholar
  • Cooper M, Dimitrov O, Rau P (2001) A rose.com by any other name. J. Finance 56(6):2371–2388.CrossrefGoogle Scholar
  • Dang TL, Moshirian F, Zhang B (2015) Commonality in news around the world. J. Financial Econom. 116:82–110.CrossrefGoogle Scholar
  • De Franco G, Fogel-Yaari H, Li H (2020) MD&A textual similarity and auditors. Auditing 39(3):105–131.CrossrefGoogle Scholar
  • De Franco G, Kothari SP, Verdi RS (2011) The benefits of financial statement comparability. J. Accounting Res. 49(4):895–931.CrossrefGoogle Scholar
  • Ding R, Zhou H, Li Y (2020) Social media, financial reporting opacity, and return comovement: Evidence from seeking alpha. J. Financial Marketing 50:100511.CrossrefGoogle Scholar
  • Drake MS, Jennings J, Roulstone DT, Thornock JR (2016) The comovement of investor attention. Management Sci. 63(9):2847–2867.LinkGoogle Scholar
  • Drake MS, Lamoreaux PT, Quinn PJ, Thornock JR (2019) Auditor benchmarking of client disclosures. Rev. Accounting Stud. 24(2):393–425.CrossrefGoogle Scholar
  • Dyer T, Lang M, Stice-Lawrence L (2017) The evolution of 10-K textual disclosure: Evidence from latent Dirichlet allocation. J. Accounting Econom. 64(2/3):221–245.CrossrefGoogle Scholar
  • Erb CB, Harvey CR, Viskanta TE (1994) Forecasting international equity correlations. Financial Anal. J. 50(6):32–45.CrossrefGoogle Scholar
  • Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.CrossrefGoogle Scholar
  • Fama EF, French KR (1997) Industry costs of equity. J. Financial Econom. 43(2):153–193.CrossrefGoogle Scholar
  • Green TC, Hwang B (2009) Price-based return comovement. J. Financial Econom. 93(1):37–50.CrossrefGoogle Scholar
  • Haggard KS, Martin X, Pereira R (2008) Does voluntary disclosure improve stock price informativeness? Financial Management 37(4):747–768.CrossrefGoogle Scholar
  • Hameed A, Xie J (2019) Preference for dividends and return comovement. J. Financial Econom. 132(1):103–125.CrossrefGoogle Scholar
  • Hoberg G, Phillips GM (2010) Product market synergies and competition in mergers and acquisitions: A text-based analysis. Rev. Financial Stud. 23(10):3773–3811.CrossrefGoogle Scholar
  • Huang S, Huang Y, Lin T (2019) Attention allocation and return co-movement: Evidence from repeated natural experiments. J. Financial Econom. 132(2):369–383.CrossrefGoogle Scholar
  • Hutton AP, Marcus AJ, Tehranian H (2009) Opaque financial reports, R2, and crash risk. J. Financial Econom. 94(1):67–86.CrossrefGoogle Scholar
  • Ibriyamova F, Kogan S, Salganik-Shoshan G, Stolin D (2019) Predicting stock return correlations with brief company descriptions. Appl. Econom. 51(1):88–102.CrossrefGoogle Scholar
  • Iselin M, Van Buskirk A (2019) Event-specific uncertainty and its expected resolution. Preprint, submitted March 29, http://dx.doi.org/10.2139/ssrn.2870646.Google Scholar
  • Israelsen RD (2016) Does common analyst coverage explain excess comovement? J. Financial Quant. Anal. 51(4):1193–1229.CrossrefGoogle Scholar
  • Jain A, Jain C (2019) Blockchain hysteria: Adding “blockchain” to company’s name. Econom. Lett. 181:178–181.CrossrefGoogle Scholar
  • Jin L, Myers SC (2006) R2 around the world: New theory and new tests. J. Financial Econom. 79(2):257–292.CrossrefGoogle Scholar
  • Jung MJ (2013) Investor similarity and diffusion of disclosure practices. Rev. Accounting Stud. 18(1):167–206.CrossrefGoogle Scholar
  • Kimbrough MD, Wang IY (2014) Are seemingly self-serving attributions in earnings press releases plausible? Empirical evidence. Accounting Rev. 89(2):635–667.CrossrefGoogle Scholar
  • Knechel WR, Vanstraelen A, Zerni M (2015) Does the identity of engagement partners matter? An analysis of audit partner reporting decisions. Contemporary Accounting Res. 32(4):1443–1478.CrossrefGoogle Scholar
  • Koo DS, Julie Wu J, Yeung PE (2017) Earnings attribution and information transfers. Contemporary Accounting Res. 34(3):1547–1579.CrossrefGoogle Scholar
  • Li E, Ramesh K (2009) Market reaction surrounding the filing of periodic SEC reports. Accounting Rev. 84(4):1171–1208.CrossrefGoogle Scholar
  • McMullin JL (2016) Can I borrow your footnotes? Footnote boilerplate’s learning externality. Preprint, submitted January 22, https://dx.doi.org/10.2139/ssrn.2381950.Google Scholar
  • Miller B (2010) The effects of reporting complexity on small and large investor trading. Accounting Rev. 85(6):2107–2143.CrossrefGoogle Scholar
  • Muslu V, Rebello M, Xu Y (2014) Sell-side analyst research and stock comovement. J. Accounting Res. 52(4):911–954.CrossrefGoogle Scholar
  • Palmrose Z-V, Richardson VJ, Scholz S (2004) Determinants of market reactions to restatement announcements. J. Accounting Econom. 37(1):59–89.CrossrefGoogle Scholar
  • Park J, Sani J, Shroff N, White H (2019) Disclosure incentives when competing firms have common ownership. J. Accounting Econom. 67(2–3):387–415.CrossrefGoogle Scholar
  • Pawliczek A, Skinner AN, Wellman LA (2021) A new take on voice: The influence of BlackRock’s ‘Dear CEO’ letters. Rev. Accounting Stud. 26(3):1088–1136.CrossrefGoogle Scholar
  • Pindyck RS, Rotemberg JJ (1993) The comovement of stock prices. Quart. J. Econom. 108(4):1073–1104.CrossrefGoogle Scholar
  • Piotroski JD, Roulstone DT (2004) The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm-specific information into stock prices. Accounting Rev. 79(4):1119–1151.CrossrefGoogle Scholar
  • Salton G, Wong A, Yang CS (1975) A vector space model for automatic indexing. Comm. ACM. 18(11):613–620.CrossrefGoogle Scholar
  • Schoenfeld J (2017) The effect of voluntary disclosure on stock liquidity: New evidence from index funds. J. Accounting Econom. 63(1):51–74.CrossrefGoogle Scholar
  • Sharma P, Paul S, Sharma S (2020) What’s in a name? A lot if it has “blockchain.” Econom. Lett. 186:108818.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.