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Seasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements

Hawaldar, Iqbal Thonse - 2020

this opportunity to buy and earn abnormal profit …

Persistent link: https://www.econbiz.de/10012845939

The Earnings Announcement Premium Around the Globe

Barber, Brad M. - 2012

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...

Persistent link: https://www.econbiz.de/10013114552

The Information in Book-to-Market Profits for Momentum

McKeon, Ryan - 2009

In this paper I examine the relation between profits from book-to-market strategies and momentum strategies. Specifically, I test two time-series hypotheses which are not mutually exclusive, but do have opposite predictions for subsequent momentum profits. First, if periods of large...

Persistent link: https://www.econbiz.de/10014218958

The Relative Option to Stock Volume (OS) and Market Response to Earnings Surprises

Rai, Atul - 2016

This study examines the effect of option volume relative to stock volume (O/S) on market response to earnings surprises. The market reaction per unit of earnings surprise is lower for firms that have high O/S prior to earnings announcement than for firms with low O/S prior to earnings...

Persistent link: https://www.econbiz.de/10013006848

Perceived Firm Trustworthiness and Market Underreaction to Earnings News

Jung, Jay - 2017

We investigate whether investors' perception of a firm's trustworthiness affects underreaction to earnings news. We develop a model that predicts how trust helps explain underreaction to news, and test this prediction under three different empirical settings where a firm's perceived...

Persistent link: https://www.econbiz.de/10012972323

Post Earnings Announcement Drift, a Price Signal?

Messias, Julien - 2015

This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...

Persistent link: https://www.econbiz.de/10013021921

Asymmetric Decrease in Liquidity Trading before Earnings Announcements and the Announcement Return Premium

Levi, Shai - 2015

Investors are reluctant to trade in the high-information-asymmetry days before earnings announcements. We show that the decrease in liquidity trading before announcements is asymmetric. We analyze buy and sell orders of investors with passive investment strategies, and find they do not reduce...

Persistent link: https://www.econbiz.de/10013036009

Stock Liquidity Risk and the Cross-Sectional Earnings-Returns Relation

Isshaq, Zangina - 2016

) are profit making …

Persistent link: https://www.econbiz.de/10012981424

Firm-Level Information Ambiguity and the Earnings Announcement Premium

Liu, Mengxi (Maggie) - 2018

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...

Persistent link: https://www.econbiz.de/10012913962

Profit Persistence and Stock Returns : Does the Market Care?

McMillan, David G. - 2018

We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive … managerial ability and three different measures of profit, we establish that persistence typically increases in firm size, market …-level results regarding the cash flow and risk premium drivers. Also, for competition policy where results show higher profit …

Persistent link: https://www.econbiz.de/10012914860