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You searched for subject:(investor inattention). Showing records 1 – 2 of 2 total matches.

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University of California – Berkeley

1. Ryans, James Patrick. Textual Classication of SEC Comment Letters.

Degree: Business Administration, Ph, 2016, University of California – Berkeley

The purpose of this study is to identify important SEC comment letters and examine the mechanisms by which they affect firm value. The SEC periodically reviews public-company financial statements, issuing comment letters in response to disclosure deficiencies, to ensure that investors are provided with material information, and to prevent fraud. Given that comment letters consist of unstructured text, statistical text classification may be an effective technique to identify comment letter importance. The information in comment letters is distributed over several separate filings and they are not widely cited by the press or analysts as information sources, which may result in investor inattention and underreaction to their disclosure. I utilize negative abnormal returns following comment letter disclosure as the primary indicator of comment letter importance, and develop a Naive Bayesian classification model that signals important comment letters from their text features that are associated with the indicator. In a holdout sample, the text classification model correctly identifies important comment letters between 10 and 40 percent better than chance. The average out-of-sample abnormal return for firms with signaled comment letters is -5.8 percent during the 90 days post-disclosure, but only when the comment letters were viewed on EDGAR. Signaled comment letters are associated with lower persistence of profits and increased material restatements in the year following comment letter disclosure.

Subjects/Keywords: Accounting; event studies; investor inattention; SEC comment letters; textual classification

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APA (6th Edition):

Ryans, J. P. (2016). Textual Classication of SEC Comment Letters. (Thesis). University of California – Berkeley. Retrieved from http://www.escholarship.org/uc/item/88g846hs

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ryans, James Patrick. “Textual Classication of SEC Comment Letters.” 2016. Thesis, University of California – Berkeley. Accessed December 15, 2019. http://www.escholarship.org/uc/item/88g846hs.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ryans, James Patrick. “Textual Classication of SEC Comment Letters.” 2016. Web. 15 Dec 2019.

Vancouver:

Ryans JP. Textual Classication of SEC Comment Letters. [Internet] [Thesis]. University of California – Berkeley; 2016. [cited 2019 Dec 15]. Available from: http://www.escholarship.org/uc/item/88g846hs.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ryans JP. Textual Classication of SEC Comment Letters. [Thesis]. University of California – Berkeley; 2016. Available from: http://www.escholarship.org/uc/item/88g846hs

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Uppsala University

2. Guscott, Alyssa. Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases.

Degree: Business Studies, 2011, Uppsala University

This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

Subjects/Keywords: investor distraction; investor inattention; Post Earnings Announcement Drift; PEAD; under-reaction; earnings surprise; SUE; summer; seasonal effects; buy and hold abnormal returns; abnormal returns; BHAR; Business studies; Företagsekonomi

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Guscott, A. (2011). Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155747

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Guscott, Alyssa. “Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases.” 2011. Thesis, Uppsala University. Accessed December 15, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155747.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Guscott, Alyssa. “Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases.” 2011. Web. 15 Dec 2019.

Vancouver:

Guscott A. Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases. [Internet] [Thesis]. Uppsala University; 2011. [cited 2019 Dec 15]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155747.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Guscott A. Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases. [Thesis]. Uppsala University; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-155747

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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