Measuring information asymmetry surrounding earnings announcements | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 5، شماره 1، مهر 2025، صفحه 103-118 اصل مقاله (301.11 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2025.83341.1161 | ||
| نویسندگان | ||
| Rexon Nainggolan* 1؛ Hendri Sembiring1؛ Clarijun Quimada Montebon2 | ||
| 1Department of Accounting, STIE Surya Nusantara, Pematangsiantar, Indonesia. | ||
| 2South Philippine Adventist College, Matanao, Davao Del Sur, Philippines. | ||
| چکیده | ||
| The primary objective of this research is to measure the information asymmetry before, during, and after earnings announcements and how it relates to the drift in post-earnings announcements over an extended period. The study uses the bid-ask spread as an information asymmetry proxy and employs a market model to assess daily data on Indonesia’s equity market before, during, and after the earnings announcement. Data were analyzed using the t test and least squares regression. The study provides empirical evidence showing that the bid-ask spread increases significantly before the earnings announcement, indicating information uncertainties between sellers and buyers. The findings show that the market reacts to accounting information indicated by a significantly reduced bid-ask spread soon after the market digests the information, following the concept of semi-strong market efficiency. The study shows a cumulative abnormal return and bid-ask spread strongly correlated a few days following earnings. However, the analysis found no long-term association between bid-ask spread and post-earnings announcement drift. The study found that stock market sellers and buyers use accounting data to set prices and that earnings releases reduce the bid-ask difference. The study suggests that the market regulator supports timely disclosure of this information. | ||
| کلیدواژهها | ||
| bid-ask spread؛ earnings announcement؛ information asymmetry؛ market efficiency | ||
| مراجع | ||
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