The relative importance of information events: An ex ante perspective

IF 3.2 3区 管理学 Q1 BUSINESS, FINANCE
Michael Iselin, Andrew Van Buskirk
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引用次数: 0

Abstract

We build on recent advances in options pricing research to propose a novel measure of the ex ante relative importance of information events. Our firm-level measure captures the extent to which investors view an event as important, independent of its realized outcome. We first validate the measure and then demonstrate how it can be used to (1) study heterogeneity across firms in the relative importance of information events; (2) identify firms for which an event was important, even though the realized outcome did not result in a meaningful stock reaction; and (3) examine questions about how the importance of an event impacts firm decisions, where using realized return-based measures of event importance would result in an endogeneity problem.

信息事件的相对重要性:事前视角
我们以期权定价研究的最新进展为基础,提出了一种衡量信息事件事前相对重要性的新方法。我们的公司层面衡量标准捕捉了投资者认为事件重要的程度,而与事件的实现结果无关。我们首先验证了这一衡量标准,然后展示了它如何用于:(1) 研究不同公司在信息事件相对重要性方面的异质性;(2) 识别事件对哪些公司很重要,即使实现的结果并没有导致有意义的股票反应;以及 (3) 研究事件的重要性如何影响公司决策的问题,在这种情况下,使用基于实现收益的事件重要性衡量标准会导致内生性问题。
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来源期刊
CiteScore
6.20
自引率
11.10%
发文量
97
期刊介绍: Contemporary Accounting Research (CAR) is the premiere research journal of the Canadian Academic Accounting Association, which publishes leading- edge research that contributes to our understanding of all aspects of accounting"s role within organizations, markets or society. Canadian based, increasingly global in scope, CAR seeks to reflect the geographical and intellectual diversity in accounting research. To accomplish this, CAR will continue to publish in its traditional areas of excellence, while seeking to more fully represent other research streams in its pages, so as to continue and expand its tradition of excellence.
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