期刊
JOURNAL OF ACCOUNTING RESEARCH
卷 55, 期 3, 页码 709-741出版社
WILEY
DOI: 10.1111/1475-679X.12158
关键词
customer-supplier anomaly; investor limited attention; anticipated earnings announcements
资金
- University of Minnesota
I test whether the anticipation of earnings news stimulates acquisition of customer information and mitigates returns to the customer-supplier anomaly documented by Cohen and Frazzini (Economic Links and Predictable Returns. The Journal of Finance 63 (2008): 1977-2011). I find that attention to a firm's publicly disclosed customers increases shortly before the firm announces earnings, and that customer stock returns predict supplier stock returns shortly before, but not after, the supplier's earnings announcement. I further find some evidence that these predictable returns are increasing in the level of customer information acquisition. These results are unique to anticipated disclosure events and suggest that anticipation of supplier earnings announcements resolves investor limited attention to customer information and accelerates price discovery of customer news.
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