How is new information capitalized in asset values? : The role of kurtosis
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/27611 |
Resumo: | Purpose – The purpose of this paper is to further understanding of how new information impacts the market value of financial assets. Design/methodology/approach – The paper uses a Bayesian approach to asset valuation, whereby investors use signals conveyed by new information to update their estimate of a structural valuation parameter. The underlying distributions – i.e. the distribution of the information signal and the prior distribution of the valuation parameter – are allowed to exhibit a degree of kurtosis greater than that of the normal distribution. Findings – The revision in asset value as a function of the realization of the information signal is an S-shaped function (in the local region centred on the zero-surprise level of the signal), if the distribution of the information signal features excess kurtosis; conversely, if the prior of the valuation parameter features excess kurtosis, the revision in asset value is an inverted S-shaped function. Research limitations/implications – The paper generates clear implications with respect to the shape of the function relating the revision in asset value to the realization of the signal only in the local region centred on the zero-surprise level of the signal. Practical implications – The paper helps to shed light on the well-known empirical result that the stock price reaction to earnings’ announcements is an S-shaped function, centred on the zero-surprise level of reported earnings. Originality/value – In the financial accounting literature, the paper helps one to understand the role of the distributional assumptions underlying the stock price reaction to earnings’ announcements, namely, the role of excess kurtosis both in reported earnings and in the prior of means earnings. |
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How is new information capitalized in asset values? : The role of kurtosisStock PricesCase StudiesFinancial InformationAssets ValuationPurpose – The purpose of this paper is to further understanding of how new information impacts the market value of financial assets. Design/methodology/approach – The paper uses a Bayesian approach to asset valuation, whereby investors use signals conveyed by new information to update their estimate of a structural valuation parameter. The underlying distributions – i.e. the distribution of the information signal and the prior distribution of the valuation parameter – are allowed to exhibit a degree of kurtosis greater than that of the normal distribution. Findings – The revision in asset value as a function of the realization of the information signal is an S-shaped function (in the local region centred on the zero-surprise level of the signal), if the distribution of the information signal features excess kurtosis; conversely, if the prior of the valuation parameter features excess kurtosis, the revision in asset value is an inverted S-shaped function. Research limitations/implications – The paper generates clear implications with respect to the shape of the function relating the revision in asset value to the realization of the signal only in the local region centred on the zero-surprise level of the signal. Practical implications – The paper helps to shed light on the well-known empirical result that the stock price reaction to earnings’ announcements is an S-shaped function, centred on the zero-surprise level of reported earnings. Originality/value – In the financial accounting literature, the paper helps one to understand the role of the distributional assumptions underlying the stock price reaction to earnings’ announcements, namely, the role of excess kurtosis both in reported earnings and in the prior of means earnings.Emerald Publishing LimitedRepositório da Universidade de LisboaGuedes, JoséSilva, João Andrade2023-04-11T15:29:26Z20092009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27611engGuedes , José and João Andrade e Silva .(2009). “How is new information capitalized in asset values? : The role of kurtosis”. Journal of Modelling in Management Vol. 4 ,No. 3: pp. 202-215. (Search PDF in 2023).1746-566410.1108/17465660911006440info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-16T01:30:39Zoai:www.repository.utl.pt:10400.5/27611Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:32.279353Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
How is new information capitalized in asset values? : The role of kurtosis |
title |
How is new information capitalized in asset values? : The role of kurtosis |
spellingShingle |
How is new information capitalized in asset values? : The role of kurtosis Guedes, José Stock Prices Case Studies Financial Information Assets Valuation |
title_short |
How is new information capitalized in asset values? : The role of kurtosis |
title_full |
How is new information capitalized in asset values? : The role of kurtosis |
title_fullStr |
How is new information capitalized in asset values? : The role of kurtosis |
title_full_unstemmed |
How is new information capitalized in asset values? : The role of kurtosis |
title_sort |
How is new information capitalized in asset values? : The role of kurtosis |
author |
Guedes, José |
author_facet |
Guedes, José Silva, João Andrade |
author_role |
author |
author2 |
Silva, João Andrade |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Guedes, José Silva, João Andrade |
dc.subject.por.fl_str_mv |
Stock Prices Case Studies Financial Information Assets Valuation |
topic |
Stock Prices Case Studies Financial Information Assets Valuation |
description |
Purpose – The purpose of this paper is to further understanding of how new information impacts the market value of financial assets. Design/methodology/approach – The paper uses a Bayesian approach to asset valuation, whereby investors use signals conveyed by new information to update their estimate of a structural valuation parameter. The underlying distributions – i.e. the distribution of the information signal and the prior distribution of the valuation parameter – are allowed to exhibit a degree of kurtosis greater than that of the normal distribution. Findings – The revision in asset value as a function of the realization of the information signal is an S-shaped function (in the local region centred on the zero-surprise level of the signal), if the distribution of the information signal features excess kurtosis; conversely, if the prior of the valuation parameter features excess kurtosis, the revision in asset value is an inverted S-shaped function. Research limitations/implications – The paper generates clear implications with respect to the shape of the function relating the revision in asset value to the realization of the signal only in the local region centred on the zero-surprise level of the signal. Practical implications – The paper helps to shed light on the well-known empirical result that the stock price reaction to earnings’ announcements is an S-shaped function, centred on the zero-surprise level of reported earnings. Originality/value – In the financial accounting literature, the paper helps one to understand the role of the distributional assumptions underlying the stock price reaction to earnings’ announcements, namely, the role of excess kurtosis both in reported earnings and in the prior of means earnings. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009 2009-01-01T00:00:00Z 2023-04-11T15:29:26Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/27611 |
url |
http://hdl.handle.net/10400.5/27611 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Guedes , José and João Andrade e Silva .(2009). “How is new information capitalized in asset values? : The role of kurtosis”. Journal of Modelling in Management Vol. 4 ,No. 3: pp. 202-215. (Search PDF in 2023). 1746-5664 10.1108/17465660911006440 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Emerald Publishing Limited |
publisher.none.fl_str_mv |
Emerald Publishing Limited |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131576269799424 |