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The Markets Reaction to Bias in Management Earnings Forecasts and Subsequent Return Reversals : 경영자 이익 예측정보의 편이에 대한 시장반응과 주가의 역전현상
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- Authors
- Issue Date
- 2002-09
- Publisher
- 서울대학교 경영연구소
- Citation
- 경영논집, Vol.36 No.2/3, pp. 719-751
- Abstract
- This study examines whether the market reacts to the bias included in management earnings forecasts(MEF) at
the time of the MEF announcement and reverse that reaction at the time of subsequent earnings announcement.
In our analyses, we assume that management earnings forecasts contain an unbiased information component and
a bias component. If investors are unable to differentiate between these two components and naively respond to
the bias component in the MEF, then we expect to observe a subsequent return reversal when actual earnings are
announced.
Our empirical results are as summarized as follows: (1) investors initially respond to the bias component in MEF
but the magnitude of that response is smaller than the magnitude of the response to the unbiased information
component. (2) we find the statistical significant evidence of return reversal occurring when earnings are
subsequently reported. (3) the naive response of investors to the bias component in MEF is restricted to only longterm
forecasts. The magnitude of the stock price response to the bias in short-term forecasts is not significantly
different from zero
- ISSN
- 1229-0491
- Language
- Korean
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