Asymmetric News Effects on Volatility : Good vs. Bad News in Good vs. Bad Times

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times

Neutrality of narrative discussion in annual reports of UK listed companies

This paper reports the results of an investigation into the neutrality of the narrative discussion of financial performance and position, as evidenced in 179 annual reports of UK listed companies. Neutrality of narrative discussion was determined by comparing the average proportions of good and bad news contained in the narrative and statutory accounts sections of the annual reports. The results of a comparison of the proportion of good news in the two sections of the annual reports suggest that the narrative sections contained a significantly higher proportion of good news than the statutory accounts sections. Comparison of proportions of bad news, however, indicates that the narrative sections contained a significantly lower proportion of bad news compared to the statutory accounts sections. Finally, the results also suggest that the proportion of good news as compared to bad news in the narrative sections is significantly higher than the proportion of good news compared to bad news in the statutory accounts section. The results are consistent with the suggestion that company management highlights good news in narrative discussions. The implications of the findings for company management, users, auditors and regulators are discussed

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times

We study the impact of positive and negative macroeconomic US and European news announcements in different phases of the business cycle on the highfrequency volatility of the EUR/USD exchange rate. The results suggest that in general bad news increases volatility more than good news. The news effects also depend on the state of the economy: bad news increases volatility more in good times than in bad times, while there is no difference between the volatility effects of good news in bad and good times.Volatility; News; Nonlinearity; Smooth Transition Models

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

It is shown that the volume of trade can be decomposed into proportional proxies for stochastic flows of good news and bad news into the market. Positive (good) information flows are assumed to increase the price of a financial vehicle while negative (bad) information flows decrease the price. For the majority of a sample of ten split-stocks it is shown that the proposed decomposition explains more GARCH than volume itself. Using the proposed decomposition, the variance of returns for younger split stocks reacts asymmetrically to good news flowing into the market, while the variance for older split-stocks reacts symmetrically to good news and bad news.information flows; autocorrelation

The relative concentration of bad versus good news flows

This paper examines flows of bad and good news as a feature of the firm’s information environment. We argue that to the extent that managers delay reporting bad news, this leads to bad news being more concentrated. Measuring flows of bad and good news using flows of negative and positive abnormal stock returns, we find that firms with higher volatility of operations and managerial incentives to withhold bad news exhibit relatively more concentrated bad news flows. This relative concentration is also positively associated with lower earnings quality and a higher risk of shareholder litigation. Our results suggest that the relative concentration of bad and good news flows is related to the quality of the firm’s information environment

Pola Penyajian Informasi dan Keputusan Investor yang Irasional

This study aims to examine the difference between the participants' investment decisions that informed good news followed by bad news rather than participants who informed bad news followed by good news on the pattern of presentation of Step by step and length series information. Design of Experiments in this study is 1x1x2 which is pattern of presentationf Step by step (SBS), a series of information length, and direction of evidence information (good news followed by bad news and bad news followed by good news). The hypothesis in this study were tested with the Mann-Whitney U test. The results from this study indicate that there is no difference between participants investment decisions that were informed of good news followed by bad news than participants who informed good news followed by bad news in the presentation of SBS meanwhile in series pattern length information in the investment decision-making. This suggests that investment decisions taken by investors is as Irrational. Non-compliance results with the theory that in acu caused by four factors that affect the internal validity of such selection, maturation, history, and testing

Pengaruh Pola Penyajian End Of Sequence (Eos) dan Seri Informasi Pendek dalam Pengambilan Keputusan Investasi

This study tested the model of belief adjustment in investment decision The purpose of this study was to reexamine whether there are differences in investment decisions between participants were informed of good news followed by bad news than participants who obtain information about bad news followed by good news on the pattern of presentation End of Sequence and series of short information. Design of Experiments in this study is that the pattern of presentation 1x1x2 End Of Sequence, series of short information and directions evidence (good news followed by bad news and the bad news followed by good news). The research hypothesis of research in this study were tested by Mann Whitney test. Variables used in this research is an investment decision, patterns of presentation end of the sequence, a series of short information, and order of proof. Participants involved in this research were 44 students Perbanas Surabaya bachelor degree majoring in Accounting or Management that are being or have taken courses of Financial Statement Analysis and Investment Management and Capital Markets. The result obtained is that there are significant differences in the final judgment participants who received information of good news followed by bad news compared to participants who received information about bad newsfollowedby good news also recency effect occurs in making investment decisions

The asymmetric timeliness in the reporting of good and bad news of firms that trade in the Athens stock exchange

Evidence on the asymmetric timeliness in the reporting of good and bad news follows the argument that accountants tend to use discretionary accruals to over-recognise bad news in order to be conservative. The Greek reporting framework, before the adoption of International Accounting Standards, did not allow or offer opportunities for discretionary use of accruals for either recording good and/or bad news. Empirical evidence based on data from firms that trade in the Athens Stock Exchange, for the period 1993- 2002, show that differences in the timeliness in the recognition of good news and bad news exist. However, in contrast to studies that use UK data and US data bad news are not recorded conservatively.peer-reviewe

The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China

© 2015 Elsevier B.V.. The impact of domestic and spillover macroeconomic news from the U.S., the Eurozone and China on national sovereign credit default swap (CDS) spreads and spread volatility are examined over a recent period of financial instability from November 2007 to March 2012. We find that better than expected (i.e. good) news tend to reduce sovereign CDS spreads, whilst worse than expected (i.e. bad) news increases spreads. News from the three major economies has significant spillover effects on other national sovereign CDS markets but the volatility responses to domestic news and foreign news from the major economies differ. CDS spread volatility increases in response to all domestic news and good news tends to exert relatively stronger effects than bad news. In contrast, good news from the major economies is market calming and consistently reduces spread volatility and they are also economically more important than bad news. Bad news from China and the Eurozone generally increase volatility in other sovereign CDS markets but bad news from the U.S. has been calming for other sovereign CDS markets in the extended crisis period from 2007 to 2012. Our results suggest that market participants in the market for sovereign credit protection pay more attention to good news than bad news both at home and from the major economies in times of financial instability

Currency Market Reactions to Good and Bad News During the Asian Crisis

There is considerable disagreement among analysts about the extent to which the spread of the Asian crisis was based on reasonable changes in expectations about fundamentals versus pure contagion effects resulting from imperfections in the behavior of currency and financial markets. In this paper we focus specifically on the behavior of the foreign exchange market for the five Asian countries. We find little support for the hypothesis that the Asian currency crisis was dominated by panic in the markets such that investors and speculators reacted much more strongly to bad than to good news. While the strongest reactions were to home news, there were also a number of significant cross effects. Almost all of these were of the same sign, suggesting that investors typically assumed that what was good for one country was good for all. Again, there was no systematic evidence of stronger reactions to bad than to good news. The markets may have overreacted in general, pushing currencies below the levels justified by the fundamentals, but, if so, this did not undercut the markets ability to respond to good as well as bad news, nor do these responses appear to have been systematically smaller to good than to bad news. The symptoms of the blind panic that has so often been alleged do not appear in the data.