We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market … states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns …

stronger during earnings announcements. Volatility spreads are measured by the implied volatility differences between pairs of …-day earnings announcement window, the abnormal returns to the quintile that includes stocks with relatively expensive call options …

This study investigates odd lot trading, both odd lot trades and odd lot orders, around quarterly earnings … announcements to determine whether or not odd lot traders are informed regarding the information contained in earnings announcements … that odd lot traders do not successfully trade around earnings announcements to earn positive market adjusted returns …

This paper examines information processing skills of institutional investors after earnings releases. If institutions … can correctly process earnings signals, their trades should push the price towards the fundamental value. In contrast, if … trading on the precision of the earnings signal. We find that institutions are good at processing signals with greater …

The relation between average equity return and market exposure behaves distinctively on days on which early earnings … earnings for related firms. On such days (labelled as LEADs), a higher beta of one in the cross-section is significantly … earnings announcement premiums for LEAD announcers, and that this cycle coincides with beta increases. The post-earnings …

Over the past 12 years, financial analysts across the world have been optimistically wrong with their 12-month earnings … forecasts by 25.3%. This study may be the first of its kind to assess analyst earnings forecast accuracy at all listed companies … research: First, analyst earnings forecasts globally were 25.3% optimistically wrong, meaning on average, analysts started each …

when analysts have another firm in their coverage portfolio announcing earnings on the same day as the sample firm (a … “concurrent announcement”), they are less likely to issue timely earnings forecasts for the sample firm's subsequent quarter than … analyst's number of concurrent announcements increases. Among the analysts who are able to issue timely earnings forecasts …

Using a sample of NASDAQ firms we investigate informed trading in the limit order book (LOB) prior to earnings … share of component of the limit order book is higher, relative to low-shock earnings announcements …

This paper provides new evidence that investor attention explains positive returns around earnings announcements and … reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which … are attention-grabbing announcements of the upcoming earnings date but otherwise provide little new information. I find …

This study finds that firm life stage affects investor behavior around earnings announcements. Introduction and decline … stage companies exhibit significantly less positive cumulative abnormal returns (CARs) around positive earnings surprises … and more negative CARs around negative earnings surprises as compared with companies in growth, maturity, and shake …