Abstract
We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in systematic risk is increasing in the ratio of event-related to pre-event information quality. Our results have implications for all empirical work attempting to model security returns around firm and macroeconomic announcements.
Original language | English |
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Pages (from-to) | 335-353 |
Number of pages | 19 |
Journal | Journal of Financial Research |
Volume | 30 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2007 |
Externally published | Yes |