How is new information capitalized in asset values? : The role of kurtosis

Detalhes bibliográficos
Autor(a) principal: Guedes, José
Data de Publicação: 2009
Outros Autores: Silva, João Andrade
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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spelling 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
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instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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