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

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2021-01-02 DOI:10.1080/10293523.2021.1876826

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

引用次数: 4

Abstract

ABSTRACT 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.

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衡量道琼斯、纳斯达克和标准普尔季度报告的不对称程度:在COVID-19大流行之前和期间

摘要本研究围绕2010年至2020年第二季度47只股票的季报，检验了投资者的不对称水平。这种不对称水平是通过分析三个指标来确定的：Corwin和Schultz（2012）的价差水平、资本资产定价模型的残差平方和（RSS）和非流动性比率，在某些情况下，这些指标在事件发生后较低。当区分好的和坏的惊喜时，只有RSS测量才会出现统计差异。在新冠肺炎期间，这些措施在事件发生后降低，出现更多病例。因此，在不确定时期，信息不对称显著减少，这表明季度报告在这些时期对投资者更有用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.