absolute abnormal returns providing evidence of a revision in investor expectations (i.e., information content) without having to predict the direction of the revision (Beaver, 1968). Absolute abnormal return may be more appropriate for our setting, as we are comparing the effect of different disclosure outlets without expecting one disclosure outlet to have comparatively more unexpectedly positive (or negative) news. We calculate abnormal return (AR) as: Where is the abnormal return of firm at time is the share price of firm at time i t, i t and is the price of the small cap mining index at time t. We then test whether the abnormal return around each disclosure outlet is significantly different using both Student and Mann-Whitney rank tests. t-tests U 4. Results 4.1 Descriptive and univariate statistics Table 1 presents sample descriptive statistics for the disclosure subsample. Panel A shows the distribution of observations is skewed slightly towards the later years. Panel B and C show firm descriptive statistics. The firms have a mean size of $291.3m (median = $143.1m) and there is a large range in the total liabilities to total assets ratio. Approximately half our firm observations have positive net cash flow from operations (49.4%), and three quarters are covered by IBES analysts (77.3%). We also note that 28.7% of observations follow another price-sensitive announcement made on the same or previous day (PSDisc). Untabulated results show that investor presentations are more likely to follow another announcement (33.3%), then purchased analyst research (29.0%) and Open Briefings (25.3%). 32 announcements are made on the same day and 20 on the previous day as the
absolute abnormal returns providing evidence of a revision in investor expectations (i.e., information content) without having to predict the direction of the revision (Beaver, 1968). Absolute abnormal return may be more appropriate for our setting, as we are comparing the effect of different disclosure outlets without expecting one disclosure outlet to have comparatively more unexpectedly positive (or negative) news. We calculate abnormal return (AR) as: Where is the abnormal return of firm i at time t, is the share price of firm i at time t and is the price of the small cap mining index at time t. We then test whether the abnormal return around each disclosure outlet is significantly different using both Student t-tests and Mann-Whitney U rank tests. 4. Results 4.1 Descriptive and univariate statistics Table 1 presents sample descriptive statistics for the disclosure subsample. Panel A shows the distribution of observations is skewed slightly towards the later years. Panel B and C show firm descriptive statistics. The firms have a mean size of $291.3m (median = $143.1m) and there is a large range in the total liabilities to total assets ratio. Approximately half our firm observations have positive net cash flow from operations (49.4%), and three quarters are covered by IBES analysts (77.3%). We also note that 28.7% of observations follow another price-sensitive announcement made on the same or previous day (PSDisc). Untabulated results show that investor presentations are more likely to follow another announcement (33.3%), then purchased analyst research (29.0%) and Open Briefings (25.3%). 32 announcements are made on the same day and 20 on the previous day as the
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