U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Using data from 46 countries, we find that the average stock return during earnings...

Both theory and evidence are mixed regarding the impact on prices of trading on “dark” venues partially exempt from National Market System requirements. Theory predicts that price discovery improves as dark venues siphon noisy uninformed trades, but increased adverse selection reduces...

The wisdom of crowds suggests that groups reach more informed decisions when its members are more diversely informed because, collectively, they have more information which complements the group's assessments and decisions. I examine whether the response to earnings news is more complete and...

Abstract We study the interrelation among the post-earnings announcement drift (PEAD) and momentum short-term anomalies, and the reversal long-term anomaly. Some theories argue that PEAD and momentum are a consequence of underreaction to new information on the market. One theory in particular,...

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...

We investigate the change in the aggregate earnings-returns relation from negative to positive. We first identify a gradual structural break around the second quarter of 1991. We then find evidence of three contributing factors to the change in the relation. They are: i) an increase in the...

Finance literature highlights various reasons for stock performance subsequent to earnings announcements. However, other moving parts in these scenarios must also be simultaneously specified. While both revenue and earnings surprises are important for determining stock performance,...

We examine abnormal returns and trading activity in bond markets around earnings announcements. Previous work provides mixed evidence on the relative impact of positive and negative surprises and the degree of response in investment-grade and speculative-grade bonds. We find that these...