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Evidence from earnings announcements∗ (2008).
| Content Provider | CiteSeerX |
|---|---|
| Author | Engelberg, Joseph |
| Abstract | Abstract: I examine the role of information processing costs on post earnings announcement drift. I distinguish between hard information —quantitative information that is more easily processed — and soft information which has higher processing costs. I find that qualitative earnings information has additional predictability for asset prices beyond the predictability in quantitative information. I also find that qualitative information has greater predictability for returns at longer horizons, suggesting that frictions in information processing generate price drift. Using a tool from natural language processing called typed dependency parsing, I demonstrate that qualitative information relating to positive fundamentals and future performance is the most difficult information to process. |
| File Format | |
| Publisher Date | 2008-01-01 |
| Access Restriction | Open |
| Subject Keyword | Earnings Announcement Qualitative Information Soft Information Information Processing Cost Information Processing Generate Price Drift Additional Predictability Future Performance Hard Information Quantitative Information Qualitative Earnings Information Post Earnings Announcement Drift Asset Price Natural Language Processing Quantitative Information Positive Fundamental Dependency Parsing Processing Cost Difficult Information |
| Content Type | Text |
| Resource Type | Article |
