The Role of Market Attention in the Short-Run Stock Performance Following Management Voluntary Disclosure

• Main Authors: Meng,ShangChing, 孟憲卿
• Other Authors: Shih, YiCheng
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/14951931919264469749

碩士 === 國立臺北大學 === 金融與合作經營學系 === 100 === Referring to Barber and Odean (2008) who conducted that individual investors are net buyers of attention-grabbing stocks. Our purpose is to detect the role of market attention on stock short-run price performance, and to examine the outside determent factors of market‟s ability to assess the truthfulness of management earnings forecast other than corporate inner incentive. Our sample comes from the companies listed on the NASDAQ, and the sample period is from 2001 to 2009. Refer to Baber and Odean (2008), the media coverage is a proxy for market attention, and is calculated as the number of news articles. Our major framework and findings can be depicted as follows: First, with regarded to the stock price response to forecast on announcement day, we find the market varies its response with the characteristic of forecast news – good or bad news, use definition on Rogers and Stocken(2005). Second, investors‟ attention may be influenced by the degree (news number) and resources of information. Such as, more event-day attention and forecasts on major media stocks earn significantly higher/more negative returns than low-event day attention stocks with goof/bad earnings forecast. In addition, market typically behaves as if good news forecasts on internet are less credible than traditional media. However, we can‟t find strong evidence to approve that professional media is more effective to investors. Third, in the post-event period, attention-induced purchase/sell by investors could temporarily inflate a stock‟s price, leading to mean-reversal subsequently return.