Using a sample of U.S. stocks over the period 1973–2015, we find that quarterly earnings announcements account for more than 18% of the total maximum daily returns in the top MAX portfolio. Maximum daily returns as triggered by earnings announcements do not entail lower future returns. Both...

The business press generally reports news in quarterly earnings announcements based on the difference between actual earnings and two salient benchmarks: earnings of the same quarter in the previous year, and a consensus drawn from a distribution of forecasts by financial analysts. We evaluate...