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Seasonalities in security returns: the case of earnings announcements

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Author Info

  • V.V. Chari
  • Ravi Jagannathan
  • Aharon R. Ofer

Abstract

An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the fact that firms with good news tend to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 110.

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Date of creation: 1987
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Handle: RePEc:fip:fedmsr:110

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Related research

Keywords: Stock - Prices;

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Cited by:
  1. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  2. Robert A. Korajczyk & Deborah Lucas & Robert L. McDonald, 1990. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 257-278 National Bureau of Economic Research, Inc.
  3. Ravi Jagnnathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
  4. Samuel, Cherian, 1996. "Internal finance and investment : another look," Policy Research Working Paper Series 1663, The World Bank.
  5. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc.

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