Intra-industry information releases

A recursive systems approach

Greg J. Clinch*, Norman A. Sinclair

*Corresponding author for this work

Research output: Contribution to journalArticle

83 Citations (Scopus)

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 languageEnglish
Pages (from-to)89-106
Number of pages18
JournalJournal of Accounting and Economics
Volume9
Issue number1
DOIs
Publication statusPublished - 1 Jan 1987
Externally publishedYes

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