Quarterly Earnings Announcements and Market Risk Adjustments
We examine (1) whether there is a shift in beta for "individual" securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two-day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements). Copyright Blackwell Publishers Ltd 1999.
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Volume (Year): 26 (1999-04)
Issue (Month): 3-4 ()
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