Conrad, Jennifer; Cornell, Bradford; Landsman, Wayne R. - In: Journal of Finance 57 (2002) 6, pp. 2507-2532
We examine whether the price response to bad and good earnings shocks changes as the relative level of the market changes. The study is based on a complete sample of annual earnings announcements during the period 1988 to 1998. The relative level of the market is based on the difference between...