Journal of Accounting and Economics Vol. 9 No. 1 1987
Intra-industry information releases
Abstract
This paper investigates the extent of intra-industry information transfers associated with the half-yearly earnings announcements of a sample of Australian firms. The ‘omitted factor’ interpretation of Foster's (1981) results is examined using a recursive systems specification of the return generating process to model extra-market return covariation in cross-section. Although some aspects of the results do appear sensitive to the alternative methodologies, the overall conclusion is consistent with Foster (1981) and supports the existence of intra-industry information transfers associated with firms' earnings releases.
- DOI
- 10.1016/0165-4101(87)90018-8
- Volume
- 9
- Issue
- 1
- Pages
- 89-106
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref