Assessing Investor Response to Information Events Using Return and Volume Metrics

By William M. Cready, David Hurtt. 2002

157 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/74b51a9e52844f4e51e9b942fd27ccf8572a2567

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Citations in the corpus

Inside the “black box” of private in-house meetings (2018, unknown): “To measure meeting informativeness, we follow previous studies (e.g., Cready and Hurtt 2002; Bushee et al. 2011; Bushee et al. 2014; Cheng et al. 2017) and calculate SAB_CAR, the standardized absolute value of cumulative abnormal returns (CARs)8 by taking the difference between the absolute value…”
Corporate Use of Social Media (2015, unknown): “…absolute size-adjusted return surrounding the earnings announcement date and the mean three-day absolute size-adjusted return in an estimation period, divided by the standard deviation of the mean absolute sizeadjusted return in the estimation period (Cready and Hurtt 2002; Bushee et al. 2011).”
Corporate Jets and Private Meetings with Investors (2018, unknown): “14 (2002), Cready and Hurtt (2002)). Thus, we predict that money center flights will be associated with higher abnormal return variability and share turnover than flights to airports outside of money centers. The information content of the flights is likely to be influenced by the number of meeting”
Narrative Disclosure and Earnings Performance: Evidence from R&D Disclosures (2014, unknown): “from Cready and Hurtt (2002). For each day in the event window (-1, +1), I take the absolute”
Conference Presentations and the Disclosure Milieu (2011, unknown): “Because we cannot measure ex ante or ex post beliefs in this setting, we use both measures to assess information content (Cready and Hurtt [2002]).”
Do Corporate Site Visits Impact Stock Prices? (2018, unknown): “Univariate analysis for the full sample Following previous studies (Cready and Hurtt 2002; Bushee et al. 2011), we measure the stock price impact of site visits using the standardized absolute value of abnormal returns (ABN_ ABSAR) in the 2-day window around site visits, that is, the [0, +1]…”
Market Reaction to Corporate Press Releases (2013, background): “(Indeed, Cready and Hurtt (2002) show that the magnitudes of the price and volume responses to earnings announcements are largely independent.)”
The Effects of Reporting Complexity on Small and Large Investor Trading (2010, unknown): “…Development rading Volume Consistent with evidence that trading volume is the most visible indicator of investors’ reponse to public disclosures Cready and Hurtt 2002 , I focus on abnormal trading activity around Loughran and McDonald 2010 do include a measure of length in their regressions.”
The Informational Role of Bond Analysts (2009, unknown): “Cready and Hurtt (2002) study the differential ability of equity volume and price return metrics to assess equity investor response to information events.”
Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2018, unknown): “This assumption and research design have extensive precedent (e.g., Woodruff and Senchack 1988; Bhattacharya 2001; Battalio & Mendenhall 2005; Cready & Hurtt 2002; Bhattacharya et al. 2007; Hirshleifer et al. 2008), but we acknowledge that they are imperfect.”
Textual risk disclosures and investors’ risk perceptions (2013, unknown): “K filing (Cready and Hurtt 2002).”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “…Lee 1992; Atiase and Bamber 1994; Kross, Ha, and Heflin 1994; Kandel and Pearson 1995; Bamber, Barron, and Stober 1997, 1999; Utama and Cready 1997; Cready and Hurtt 2002; Landsman and Maydew 2002; Ahmed, Schneible, and Stevens 2003; Bailey, Li, Mao, and Zhong 2003; Asthana, Balsam, and…”