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Stock Return Seasonalities and Earnings Information


  • Peterson, David R.


Previous literature documents significant seasonalities in stock market returns. One explanation is seasonality in earnings information. If true, a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings. Employing all New York and American Stock Exchange firms over six years, this study examines the seasonality of stock returns. Generally, seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns. Thus, it is doubtful that earnings news seasonality induces stock return seasonality.

Suggested Citation

  • Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
  • Handle: RePEc:cup:jfinqa:v:25:y:1990:i:02:p:187-201_00

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    References listed on IDEAS

    1. Shleifer, Andrei & Vishny, Robert W, 1986. "Large Shareholders and Corporate Control," Journal of Political Economy, University of Chicago Press, vol. 94(3), pages 461-488, June.
    2. Harris, Milton & Raviv, Artur, 1988. "Corporate control contests and capital structure," Journal of Financial Economics, Elsevier, vol. 20(1-2), pages 55-86, January.
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    Cited by:

    1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    2. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
    3. Ariss, Rima Turk & Rezvanian, Rasoul & Mehdian, Seyed M., 2011. "Calendar anomalies in the Gulf Cooperation Council stock markets," Emerging Markets Review, Elsevier, vol. 12(3), pages 293-307, September.
    4. Mookerjee, Rajen & Yu, Qiao, 1999. "Seasonality in returns on the Chinese stock markets: the case of Shanghai and Shenzhen," Global Finance Journal, Elsevier, vol. 10(1), pages 93-105.
    5. Razvan STEFANESCU & Ramona DUMITRIU, 2011. "The SAD Cycle for the Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 372-377.
    6. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    7. Mookerjee, Rajen & Yu, Qiao, 1999. "An empirical analysis of the equity markets in China," Review of Financial Economics, Elsevier, vol. 8(1), pages 41-60, June.
    8. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "The US macroeconomic news announcements and the within-month effects on the Bucharest Stock Exchange," MPRA Paper 41626, University Library of Munich, Germany, revised 11 Oct 2011.
    9. Yung-Jang Wang & M. Walker, 2000. "An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(2), pages 178-194, June.
    10. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
    11. Cohen, Daniel A. & Dey, Aiyesha & Lys, Thomas Z. & Sunder, Shyam V., 2007. "Earnings announcement premia and the limits to arbitrage," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 153-180, July.
    12. Fatemi, Ali M. & Tavakkol, Amir & Dukas, Stephen P., 1996. "Foreign exchange exposure and the pricing of exchange rate risk," Global Finance Journal, Elsevier, vol. 7(2), pages 169-189.
    13. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Analysis of within – month effects on the Bucharest stock exchange," MPRA Paper 36562, University Library of Munich, Germany, revised 09 Feb 2012.

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