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Quarterly Earnings Announcements and Market Risk Adjustments

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  • Su-Jane Hsieh

    (College of Business, San Francisco State University,)

  • Scott I. Jerris

    (College of Business, San Francisco State University,)

  • William Kross

Abstract

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.

Suggested Citation

  • Su-Jane Hsieh & Scott I. Jerris & William Kross, 1999. "Quarterly Earnings Announcements and Market Risk Adjustments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(3-4), pages 313-336.
  • Handle: RePEc:bla:jbfnac:v:26:y:1999-04:i:3-4:p:313-336
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    Cited by:

    1. Barajas, Angel, 2004. "Modelo de valoraci├│n de clubes de f├║tbol basado en los factores clave de su negocio
      [Valuation model for football clubs based on the key factors of their business]
      ," MPRA Paper 13158, University Library of Munich, Germany.

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