Bad news does not always travel fast: evidence from Chapter 11 bankruptcy filings

被引：7
|
作者：
Serra Coelho, Luis Miguel [1 ,2 ]
机构：
[1] Univ Algarve, Sch Econ, Faro, Portugal
[2] CEFAGE, Evora, Portugal
来源：
ACCOUNTING AND FINANCE | 2015年 / 55卷 / 02期
关键词：
Chapter; 11; bankruptcy; Market-pricing anomaly; Information diffusion rate; STOCK-PRICE REACTION; INFORMATION DIFFUSION; DELISTING BIAS; CROSS-SECTION; MARKET; RETURNS; EARNINGS; BEHAVIOR; MOMENTUM; RISK;
D O I：
10.1111/acfi.12063
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the stock price performances of 275 non-financial, non-utility U.S. industrial firms that continue trading on the main exchanges after filing for Chapter 11 bankruptcy between 1 October 1979 and 17 October 2005. This paper identifies a negative and statistically significant post-bankruptcy drift that lasts for at least 6months. This finding adds to the literature showing that the market is unable to process bad public news events in a timely manner. Further analysis suggests that the theoretical model proposed by Hong and Stein (1999) can be used to help explain this market-pricing anomaly.
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页码：415 / 442
页数：28
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