{"title":"The relative importance of information events: An ex ante perspective","authors":"Michael Iselin, Andrew Van Buskirk","doi":"10.1111/1911-3846.12904","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":10595,"journal":{"name":"Contemporary Accounting Research","volume":null,"pages":null},"PeriodicalIF":3.2000,"publicationDate":"2023-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Contemporary Accounting Research","FirstCategoryId":"91","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/1911-3846.12904","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.