| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25084 |
| 来源ID | Working Paper 25084 |
| Lazy Prices | |
| Lauren Cohen; Christopher Malloy; Quoc Nguyen | |
| 发表日期 | 2018-09-24 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Using the complete history of regular quarterly and annual filings by U.S. corporations from 1995-2014, we show that when firms make an active change in their reporting practices, this conveys an important signal about future firm operations. Changes to the language and construction of financial reports also have strong implications for firms’ future returns: a portfolio that shorts “changers” and buys “non-changers” earns up to 188 basis points in monthly alphas (over 22% per year) in the future. Changes in language referring to the executive (CEO and CFO) team, regarding litigation, or in the risk factor section of the documents are especially informative for future returns. We show that changes to the 10-Ks predict future earnings, profitability, future news announcements, and even future firm-level bankruptcies; meanwhile firms that do not make changes experience positive abnormal returns. Unlike typical underreaction patterns in asset prices, we find no announcement effect associated with these changes–with returns only accruing when the information is later revealed through news, events, or earnings–suggesting that investors are inattentive to these simple changes across the universe of public firms. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w25084 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582757 |
| 推荐引用方式 GB/T 7714 | Lauren Cohen,Christopher Malloy,Quoc Nguyen. Lazy Prices. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25084.pdf（1236KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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