Mispricing and the Demand for Fundamental Information
I provide evidence that investor demand for accounting information intensifies following nonfundamental shocks to prices. Using quasi-exogenous variation in security prices due to forced mutual fund sales, I find that mispricing triggers an increase in the consumption of accounting information, espe...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2022
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| Online Access: | https://hdl.handle.net/1721.1/144730 |
| _version_ | 1811080330821500928 |
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| author | Anderson, Samuel S. |
| author2 | So, Eric C. |
| author_facet | So, Eric C. Anderson, Samuel S. |
| author_sort | Anderson, Samuel S. |
| collection | MIT |
| description | I provide evidence that investor demand for accounting information intensifies following nonfundamental shocks to prices. Using quasi-exogenous variation in security prices due to forced mutual fund sales, I find that mispricing triggers an increase in the consumption of accounting information, especially among institutional investors. This increase in information consumption subsequently predicts both the speed and extent to which prices return to their pre-shock levels, as well as price informativeness around future earnings events. Taken together, these findings not only demonstrate that mutual fund flow-induced mispricing shapes investors’ information consumption, but also highlight the useful role of accounting information in enhancing the informational efficiency of securities markets following temporary mispricing. |
| first_indexed | 2024-09-23T11:29:32Z |
| format | Thesis |
| id | mit-1721.1/144730 |
| institution | Massachusetts Institute of Technology |
| last_indexed | 2024-09-23T11:29:32Z |
| publishDate | 2022 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1447302022-08-30T03:41:08Z Mispricing and the Demand for Fundamental Information Anderson, Samuel S. So, Eric C. Weber, Joseph P. Sloan School of Management I provide evidence that investor demand for accounting information intensifies following nonfundamental shocks to prices. Using quasi-exogenous variation in security prices due to forced mutual fund sales, I find that mispricing triggers an increase in the consumption of accounting information, especially among institutional investors. This increase in information consumption subsequently predicts both the speed and extent to which prices return to their pre-shock levels, as well as price informativeness around future earnings events. Taken together, these findings not only demonstrate that mutual fund flow-induced mispricing shapes investors’ information consumption, but also highlight the useful role of accounting information in enhancing the informational efficiency of securities markets following temporary mispricing. Ph.D. 2022-08-29T16:07:48Z 2022-08-29T16:07:48Z 2022-05 2022-08-23T19:16:45.945Z Thesis https://hdl.handle.net/1721.1/144730 In Copyright - Educational Use Permitted Copyright MIT http://rightsstatements.org/page/InC-EDU/1.0/ application/pdf Massachusetts Institute of Technology |
| spellingShingle | Anderson, Samuel S. Mispricing and the Demand for Fundamental Information |
| title | Mispricing and the Demand for Fundamental Information |
| title_full | Mispricing and the Demand for Fundamental Information |
| title_fullStr | Mispricing and the Demand for Fundamental Information |
| title_full_unstemmed | Mispricing and the Demand for Fundamental Information |
| title_short | Mispricing and the Demand for Fundamental Information |
| title_sort | mispricing and the demand for fundamental information |
| url | https://hdl.handle.net/1721.1/144730 |
| work_keys_str_mv | AT andersonsamuels mispricingandthedemandforfundamentalinformation |