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Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors

Author

Listed:
  • O. Miguel Villanueva

    (Boston University – MET
    Crowninshield Financial Research, Inc.)

  • Steven Feinstein

    (Crowninshield Financial Research, Inc.
    Babson College)

Abstract

The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, broad analyst coverage, a large number of market makers, and narrow bid-ask spread are far more likely to react significantly to earnings announcements than stocks without these characteristics. Univariate and multivariate tests compel this conclusion, but provide weaker evidence for analyst coverage.

Suggested Citation

  • O. Miguel Villanueva & Steven Feinstein, 2021. "Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 203-234, July.
    • Handle: RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00943-4
    DOI: 10.1007/s11156-020-00943-4
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    References listed on IDEAS

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    More about this item

    Keywords

    Earnings announcements; Cammer/Krogman factors; Securities litigation; Logit regression; Stock price reactivity; Market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law

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