Intraday Stock Price Reactions to Interim-Quarter versus Fourth-Quarter Earnings Announcements
This study investigates intraday patterns of quarterly return-earnings relations. We find that fourth quarter announcements exhibit a lower earnings response coefficient but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. While prior short event window studies document that interim quarter earnings have greater explanatory power than fourth quarter earnings or annual earnings, our analysis indicates that the prior results may be driven by the use of two-day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements. Copyright Blackwell Publishers Ltd 2000.
Year of publication: |
2000-09
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Authors: | Lee, Jason ; Park, Chul W. |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 27.2000-09, 7&8, p. 1027-1046
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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