IDEAS home Printed from https://ideas.repec.org/a/taf/euract/v8y1999i4p585-607.html
   My bibliography  Save this article

Regularities in the equity price response to earnings announcements in Spain

Author

Listed:
  • Maria Jose Arcas Pellicer
  • William Page Rees

Abstract

This paper studies the market's reaction to 660 earnings announcements made during the period 1991-95 in Spain. This period starts shortly after the completion of the revision of Spanish financial accounting practices to bring them into line with EC requirements. As expected, we find that the earnings disclosures are accompanied by abnormal volatility; however, we also discover positive abnormal returns and an upward shift in beta. Furthermore, both expected and unexpected changes in earnings have explanatory power for abnormal returns accompanying earnings announcements - although this result is largely driven by the smaller firms in the sample. This evidence is consistent with a change in the risk-return relationship and with unsophisticated investors neglecting value-relevant information.

Suggested Citation

  • Maria Jose Arcas Pellicer & William Page Rees, 1999. "Regularities in the equity price response to earnings announcements in Spain," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 585-607.
  • Handle: RePEc:taf:euract:v:8:y:1999:i:4:p:585-607
    DOI: 10.1080/096381899335727
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/096381899335727
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. repec:bla:joares:v:6:y:1968:i::p:67-92 is not listed on IDEAS
    3. repec:bla:joares:v:28:y:1990:i:1:p:164-181 is not listed on IDEAS
    4. Araceli Mora & William Rees, 1998. "The early adoption of consolidated accounting in Spain," European Accounting Review, Taylor & Francis Journals, vol. 7(4), pages 675-696.
    5. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    6. Penman, Stephen H., 1984. "Abnormal returns to investment strategies based on the timing of earnings reports," Journal of Accounting and Economics, Elsevier, vol. 6(3), pages 165-183, December.
    7. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    8. repec:bla:joares:v:17:y:1979:i:2:p:316-340 is not listed on IDEAS
    9. repec:bla:joares:v:18:y:1980:i:1:p:255-268 is not listed on IDEAS
    10. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
    11. Lee, Charles M. C., 1992. "Earnings news and small traders : An intraday analysis," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 265-302, August.
    12. Carlos Ocaña & J. Ignacio Peña & Doloros Robles, 1997. "Preliminary Evidence on Takeover Target Returns in Spain: A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 145-153.
    13. Fried, Dov & Givoly, Dan, 1982. "Financial analysts' forecasts of earnings : A better surrogate for market expectations," Journal of Accounting and Economics, Elsevier, vol. 4(2), pages 85-107, October.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. David Abad & José Yagüe & Sonia Sanabria, 2005. "Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market," Working Papers. Serie EC 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Pascal Dumontier & Bernard Raffournier, 2002. "Accounting and capital markets: a survey of the European evidence," European Accounting Review, Taylor & Francis Journals, vol. 11(1), pages 119-151.
    3. Sonia Sanabria, 2004. "Comportamiento De Los Precios Y Volúmenes De Negociación Ante Anuncios De Beneficios Anuales," Working Papers. Serie EC 2004-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:taf:euract:v:8:y:1999:i:4:p:585-607. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/REAR20 .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.