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Intraday Stock Price Reactions to Interim‐Quarter versus Fourth‐Quarter Earnings Announcements

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  • Jason Lee
  • Chul W. Park

Abstract

This study investigates intraday patterns of quarterly return‐earnings relations. We find that fourth quarter announcements exhibit a lower earnings response coefficient but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. While prior short event window studies document that interim quarter earnings have greater explanatory power than fourth quarter earnings or annual earnings, our analysis indicates that the prior results may be driven by the use of two‐day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements.

Suggested Citation

  • Jason Lee & Chul W. Park, 2000. "Intraday Stock Price Reactions to Interim‐Quarter versus Fourth‐Quarter Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(7‐8), pages 1027-1046, September.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:7-8:p:1027-1046
    DOI: 10.1111/1468-5957.00344
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    Cited by:

    1. Das, Somnath & King, Alexander Z., 2021. "Measuring the informativeness of earnings announcements: The role of event windows," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 350-367.

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