How does the information environment affect information asymmetry around earnings announcements?

This paper shows that the information environment is an important determinant of private information acquisition and changes in information asymmetry around earnings announcements. I create a sample of earnings announcements from 39 countries and investigate whether firm and country-level variation in the information environment affects private information acquisition. To do this, I examine the level of information asymmetry before and during earnings announcements. A stronger firm-level information environment is (1) negatively related to changes in pre-event information asymmetry and (2) positively related to changes in event period information asymmetry. Similarly, a stronger country-level information environment is associated with the firm-level information environment having a stronger effect on information asymmetry before the announcement and a weaker effect during the announcement.

Department dc:contributor.department

Sloan School of Management.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2014

Author dc:creator

• Naranjo, Patricia L. (Naranjo Olivares)

Advisor dc:contributor.advisor

• John Core and Rodrigo Verdi.

• Sloan School of Management.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/97316

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/97316