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.

引用

页码：415 / 442

页数：28

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