Measuring the asymmetry level around quarterly reports in the Dow Jones, Nasdaq, and Standard & Poor’s: Before and during the COVID-19 pandemic

Jaime González Maiz Jiménez*, Adán Reyes Santiago, Francisco López-Herrera

*Autor correspondiente de este trabajo

Producción científicarevisión exhaustiva

4 Citas (Scopus)

Resumen

This study tests investors’ asymmetry level around the quarterly reports of 47 shares from 2010 to the second quarter of 2020. This asymmetry level was determined by analysing three measures: the Corwin and Schultz’s (2012) spread level, residual sum of squares (RSS) with the capital asset pricing model, and the illiquidity ratio, which were lower after the event for some cases. When discerning between good and bad surprises, statistical differences emerged only with the RSS measure. During the COVID-19 period, these measures were lower after the event for more cases. Thus, information asymmetry significantly reduces in periods of uncertainty, suggesting that quarterly reports are more useful for investors during these periods.
Idioma originalEnglish
Páginas (desde-hasta)50-59
Número de páginas10
PublicaciónInvestment Analysts Journal
Volumen50
N.º1
DOI
EstadoPublished - 2021

Nota bibliográfica

Publisher Copyright:
© 2021 Investment Analysts Society of South Africa.

All Science Journal Classification (ASJC) codes

  • Contabilidad
  • Finanzas
  • Economía y econometría

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