IDEAS home Printed from
   My bibliography  Save this article

Bond and Stock Market Response to Unexpected Earnings Announcements


  • Datta, Sudip
  • Dhillon, Upinder S.


This study examines whether earnings changes convey information in bond markets and finds a significant positive (negative) reaction to unexpected earnings increases (decreases). The results are consistent whether earnings announcements precede or follow dividend announcements. Thus, earnings surprises convey information to bond markets and changes in firm value are split among bondholders and stockholders. This is in contrast to evidence from studies examining unexpected dividend announcements where bond price reaction is asymmetric. Cross-sectional analysis reveals that bond excess returns are positively related to earnings surprises.

Suggested Citation

  • Datta, Sudip & Dhillon, Upinder S., 1993. "Bond and Stock Market Response to Unexpected Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 565-577, December.
  • Handle: RePEc:cup:jfinqa:v:28:y:1993:i:04:p:565-577_00

    Download full text from publisher

    File URL:
    File Function: link to article abstract page
    Download Restriction: no


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Maul, D. & Schiereck, D., 2016. "The bond event study methodology since 1974," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 80723, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016. "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, vol. 27(C), pages 102-131.
    3. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
    4. Datta, Sudip & Iskandar-Datta, Mai, 1996. "Takeover defenses and wealth effects on securityholders: The case of poison pill adoptions," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1231-1250, August.
    5. Tsai, Hui-Ju, 2014. "The informational efficiency of bonds and stocks: The role of institutional sized bond trades," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 34-45.
    6. Zhu, Hui, 2014. "Implications of limited investor attention to customer–supplier information transfers," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 405-416.
    7. Frank Gyamfi-Yeboah & Alan Ziobrowski & Lisa Lambert, 2012. "Reits’ Price Reaction to Unexpected FFO Announcements," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 622-644, October.
    8. Ramnath, Sundaresh & Rock, Steve & Shane, Philip, 2008. "The financial analyst forecasting literature: A taxonomy with suggestions for further research," International Journal of Forecasting, Elsevier, vol. 24(1), pages 34-75.
    9. Dan Givoly & Carla Hayn & Sharon Katz, 2017. "The changing relevance of accounting information to debt holders over time," Review of Accounting Studies, Springer, vol. 22(1), pages 64-108, March.
    10. Baik, Bok & Kim, Young Jun & Kim, Jungbae & Lee, Su Jeong, 2015. "Usefulness of earnings in credit markets: Korean evidence," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 93-113.
    11. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.
    12. Qiang Chen & Daolun Chen & YuTing Gong, 2012. "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing, vol. 2(3), pages 265-285, June.
    13. repec:eee:jaecon:v:64:y:2017:i:1:p:167-182 is not listed on IDEAS
    14. Wei Li & Zhichao Zhang, 2012. "International capital flows, the domestic employment and wages: Perspective from China's different provinces," China Finance Review International, Emerald Group Publishing, vol. 2(3), pages 286-310, June.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:28:y:1993:i:04:p:565-577_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.