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Asymmetric responses in divergence of opinions to good news and bad news earnings shocks

机译：对好消息和坏消息对收入冲击的意见分歧，反应不对称

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摘要

We examine the asymmetric response in divergence of opinion to bad and good earnings shocks and whether the asymmetric response changes as the the relative level of the market changes. Our sample includes all quarterly firm earnings announcements over the period between 1985 and 2008. Using four distinct proxies for difference of opinion, we find that high difference of opinion firms earn significantly lower return than low difference of opinion firms around bad news earnings announcements; the difference between the two groups are less pronounced-or even reversed-around good news earnings announcements. The above results are robust when we control for various firm characteristics and alternative explanations. Furthermore, we find that the difference between responses to good and bad news is greater when the relative market level is low. The findings are consistent with the argument that ambiguity-averse investors discount good news and they do so to a greater degree when the market level is low.
机译：我们在对不良和良好收益冲击的意见分歧中考察了不对称响应，以及随着市场相对水平的变化，不对称响应是否发生了变化。我们的样本包括1985年至2008年期间的所有季度公司收益公告。使用四个不同的观点差异代理，我们发现，在坏消息收益公告方面，高意见公司的收益要明显低于低意见公司的收益。两组之间的差异不太明显-甚至相反-好消息收益公告。当我们控制各种公司特征和替代解释时，以上结果是可靠的。此外，我们发现，当相对市场水平较低时，对好消息和坏消息的反应之间的差异会更大。这些发现与反对歧义的投资者打折好消息的观点是一致的，当市场水平较低时，他们会更大程度地这样做。

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