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The earnings announcement premium around the globe

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  • Barber, Brad M.
  • De George, Emmanuel T.
  • Lehavy, Reuven
  • Trueman, Brett

Abstract

U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. A cross-country analysis finds that the premium is strongest in countries with the greatest increase in idiosyncratic volatility around the time of their firms' earnings announcements, suggesting that uncertainty over the earnings information to be disclosed is a primary driver of the global announcement premium.

Suggested Citation

  • Barber, Brad M. & De George, Emmanuel T. & Lehavy, Reuven & Trueman, Brett, 2013. "The earnings announcement premium around the globe," Journal of Financial Economics, Elsevier, vol. 108(1), pages 118-138.
    • Handle: RePEc:eee:jfinec:v:108:y:2013:i:1:p:118-138
    DOI: 10.1016/j.jfineco.2012.10.006
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    More about this item

    Keywords

    Earnings announcement premium; International; Idiosyncratic volatility; Investor attention;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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