Chan, Howard; Faff, Robert; Ramsay, Alan - In: Journal of Business Finance & Accounting 32 (2005-01) 1-2, pp. 211-253
We investigate the effect of firm size on the market's short-window response to annual earnings announcements for a large sample of Australian listed companies. Our research design involves regressions of unexpected earnings against unexpected returns. Non-linearity in the returns-earnings...