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Information content of whispers relative to firm size
Managerial Finance (2009)
  • Jian J Zhang, San Jose State University
  • J. Zaima, San Jose State University
  • M. Harjoto, Pepperdine University
Purpose – The purpose of this paper is to investigate the size effect of market reaction to unexpected earnings based on whispers or unofficial individual earnings forecasts. Design/methodology/approach – Using both univariate and multiple regression analysis, this paper attempts to demonstrate that there is a size effect in the market reaction to unexpected earnings based on whispers. The empirical results are based on 13,795 quarterly earnings whispers over 1997-2006. Findings – The results show that for both abnormal returns (ARs) and trading volume, the market reaction for big firms is less compared to that of small firms. Originality/value – Given that information for small firms is less available and transparent than for big firms, this paper provides useful evidence that whispers play a larger role in equity pricing for small firms.
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Citation Information
Jian J Zhang, J. Zaima and M. Harjoto. "Information content of whispers relative to firm size" Managerial Finance Vol. 35 Iss. 7 (2009)
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