Disaggregation quality, stock returns, and institutional demand

George Jiang, David Kenchington, Ping McLemore and H.Zafer Yüksel

Finance Research Letters, 2024, vol. 62, issue PB

Abstract: We find that financial statement disaggregation quality (DQ), a measure of the fineness of financial statements, is a strong predictor of future stock returns. Institutional investors prefer high-DQ stocks, and their trade gradually incorporates reporting quality into stock prices over a year following disclosures. The relationship between DQ and future stock returns and institutional investors’ preference are stronger for small firms, during higher market-wide uncertainty periods, and robust to replacing DQ with change in DQ. Our findings provide evidence that capital markets are not perfectly efficient, and the discovery of stock prices is a gradual process facilitated by institutional demand.

Keywords: Disaggregation quality (DQ); Price discovery; Cross-sectional stock returns; Institutional demand (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324002320
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002320

DOI: 10.1016/j.frl.2024.105202

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().