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.
Original language | English |
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Pages (from-to) | 89-106 |
Number of pages | 18 |
Journal | Journal of Accounting and Economics |
Volume | 9 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Jan 1987 |
Externally published | Yes |