Announcements, expectations, and stock returns with asymmetric information

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2025-04-01 DOI:10.1016/j.jmoneco.2025.103751

Leyla Jianyu Han

引用次数: 0

Abstract

Revisions of consensus macroeconomic and earnings forecasts positively predict announcement-day forecast errors, whereas stock market returns during forecast revision periods negatively predict announcement-day returns. A dynamic noisy rational expectations model with periodic announcements quantitatively accounts for these findings. Under asymmetric information, informed investors’ forecast revisions positively predict forecast errors of the uninformed, causing average beliefs to underreact to new information and positively predict belief errors. Additionally, stock prices are partially driven by noise. Noise impact accumulates into stock prices during revision periods but gets corrected upon announcements. Therefore, revision period price changes negatively predict announcement-day returns.

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信息不对称情况下的公告、预期和股票收益

对宏观经济和盈利预测的修正正向预测公告日预测误差，而在预测修正期间的股票市场回报负向预测公告日回报。一个具有周期性公告的动态噪声理性预期模型定量地解释了这些发现。信息不对称下，知情投资者的预测修正正向预测不知情投资者的预测误差，导致平均信念对新信息反应不足，正向预测信念误差。此外，股价部分受噪音影响。在修正期间，噪音影响会累积到股票价格中，但在公告时得到纠正。因此，修正期价格变化负向预测公告日收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

期刊介绍： The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.