An Empirical Investigation of the Effect of Quarterly Earnings Announcement Timing on Stock Returns

1984 ◽  
Vol 22 (1) ◽  
pp. 153 ◽  
Author(s):  
William Kross ◽  
Douglas A. Schroeder
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Earnings Announcement ◽  
Quarterly Earnings

scholarly journals Quarterly Earnings Announcement Effect on Stock Return and Trading Volume in Nepal

2019 ◽  
Vol 4 ◽  
pp. 32-47
Author(s):  
Jeetendra Dangol ◽  
Ajay Bhandari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Earnings Announcements ◽  
Good News ◽  
Fiscal Year ◽  
Event Analysis ◽  
Earnings Announcement ◽  
Quarterly Earnings ◽  
Analysis Methodology

The study examines the stock returns and trading volume reaction to quarterly earnings announcements using the event analysis methodology. Ten commercial banks with 313 earnings announcements are considered between the fiscal year 2010/11 and 2017/18. The observations are portioned into 225 earning-increased (good-news) sub-samples and 88 earning-decreased (bad-news) sub-samples. This paper finds that the Nepalese stock market is inefficient at a semi-strong level, but there is a strong linkage between quarterly earnings announcement and trading volume. Similarly, the study provides evidence of existence of information content hypothesis in the Nepalese stock market.

The Earnings Event-Time Seasonal and the Calendar-Time Seasonal in Stock Returns: Naive Use of Earnings Information or Announcement Timing Effect?

1995 ◽  
Vol 10 (4) ◽  
pp. 677-698 ◽  
Author(s):  
Ray Ball ◽  
Eli Bartov
Keyword(s):  
Stock Returns ◽  
Abnormal Returns ◽  
Calendar Time ◽  
Earnings Announcement ◽  
Future Earnings ◽  
Quarterly Earnings ◽  
Earnings Information ◽  
Event Time ◽  
Unexpected Earnings ◽  
Day Of The Week

We document a pattern in the day-of-the-week timing of future earnings announcements that is predictable from knowledge of the current quarter's earnings. The pattern mimics the predictable (+, +, 0, -) dependence previously reported in both seasonally differenced quarterly earnings themselves and in estimated abnormal returns at future quarterly earnings announcement dates (the “SUE effect”; see Rendleman, Jones, and Latané [1987]; Bernard and Thomas [1990]). The predictability of abnormal returns at future earnings announcement dates therefore is not independent of the well-documented day-of-the-week seasonal in stock returns (the “DOW effect”; see Osborne [1962]; Cross [1973]; French [1980]; Gibbons and Hess [1981]). Although the DOW effect is too small to fully explain the SUE effect, it appears to contribute to it, since both past SUE and current earnings announcement DOW are incremental in explaining announcement-day estimated abnormal returns. The unclear role of size and the presence of errors in estimating both unexpected earnings and its announcement day suggest caution in interpreting these results.

scholarly journals Differential Effect Of The Sarbanes-Oxley Act On Individual And Institutional Investors

2016 ◽  
Vol 32 (2) ◽  
pp. 517
Author(s):  
Sorah Park
Keyword(s):  
Stock Returns ◽  
Institutional Investors ◽  
Differential Effect ◽  
Empirical Test ◽  
Individual Investors ◽  
Earnings Announcement ◽  
Quarterly Earnings ◽  
Sarbanes Oxley ◽  
The Impact ◽  
Investor Reaction

This study investigates the differential effect of the Sarbanes-Oxley Act of 2002 (“SOX”) on unsophisticated individual investors and sophisticated institutional investors. I examine the relationship between abnormal stock returns around quarterly earnings announcements before and after SOX and investor sophistication. Empirical test results show that SOX positively affected stock returns reaction around the quarterly earnings announcement, consistent with prior literature. However, the increased stock returns reaction in the post-SOX period appears to be unrelated to individual investors. I find that the impact of SOX on institutional investor reaction to earnings announcement is statistically significant, whereas individual investor reaction to earnings announcement is not affected by SOX. This suggests that institutional investors have improved on the extent to which earnings information is efficiently priced after SOX, but not individual investors. These findings are important because the differential effect of the accounting disclosure regulation on investors has received little attention in the literature.

The Effect of Reporting Streaks on Ex Ante Uncertainty

2020 ◽  
Vol 66 (8) ◽  
pp. 3771-3787 ◽  
Author(s):  
Thaddeus Neururer ◽  
George Papadakis ◽  
Edward J. Riedl
Keyword(s):  
Stock Returns ◽  
Earnings Announcements ◽  
Earnings Announcement ◽  
Risk Premiums ◽  
Quarterly Earnings ◽  
Earnings Per Share ◽  
Ex Ante ◽  
Variance Risk ◽  
Analyst Earnings ◽  
Lower Uncertainty

This paper predicts and finds that investor uncertainty surrounding a key information release event—the earnings announcement—is decreasing in a firm’s reporting streak. We use two proxies related to investor ex ante uncertainty and corresponding pricing of such uncertainty: option-implied volatilities and variance risk premiums; both are measured with maturities surrounding the impending quarterly earnings announcement. Consistent with prior research, we measure reporting streak as the number of consecutive quarters the firm meets or beats the consensus analyst earnings-per-share forecast. Empirical results confirm expectations that the two uncertainty-related constructs are decreasing in the length of the reporting streak. These results, combined with further evidence documenting that lower uncertainty leads to lower stock returns surrounding the earnings announcements, suggest that longer reporting streaks reflect lower risk during earnings announcements. This paper was accepted by Shiva Rajgopal, accounting.

Can Twitter Help Predict Firm-Level Earnings and Stock Returns?

2017 ◽  
Vol 93 (3) ◽  
pp. 25-57 ◽  
Author(s):  
Eli Bartov ◽  
Lucile Faurel ◽  
Partha S. Mohanram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Future Prospects ◽  
Traditional Media ◽  
Stock Trading ◽  
Firm Level ◽  
Quarterly Earnings ◽  
Announcement Returns ◽  
Twitter Activity ◽  
Original Information

ABSTRACT Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

scholarly journals Measuring The Usefulness Of Information For Investors Inferences: The Case Of Quarterly Earnings Announcements

2010 ◽  
Vol 8 (7) ◽  
Author(s):  
C. Catherine Chiang ◽  
Yaw M. Mensah
Keyword(s):  
Financial Performance ◽  
Stock Price ◽  
Value Of Information ◽  
Earnings Announcements ◽  
New Method ◽  
Rates Of Return ◽  
Earnings Announcement ◽  
Quarterly Earnings ◽  
Other Information

In this paper, we propose a new method for assessing the usefulness of information, its inferential value. In the context of accounting and finance, we define the inferential value of information about a firm as how efficaciously the information enables investors to draw correct inferences regarding its future financial performance. On the basis of this definition, we develop a stylized model to measure the proximity of a firm’s future realized rates of return to the estimated rates of return implied by its current stock price. We then use the new measure to test the hypothesis that quarterly earnings announcements have a higher inferential value than other information arriving during interim (non-earnings announcement) periods. Our empirical findings suggest that investors are able to make more informative inferences about a firm’s future profitability based on quarterly earnings announcement than based on information available during interim periods. However, our findings also suggest that, in general, investors do not correctly anticipate future losses. Finally, we find that earnings announcements are as important in anticipating future profitability for larger firms as they are for smaller firms.

scholarly journals An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices

2017 ◽  
Vol 9 (6) ◽  
pp. 57 ◽  
Author(s):  
Nida Shah ◽  
Muhammad Nadeem Qureshi ◽  
Yasra Aslam
Keyword(s):  
Stock Returns ◽  
Empirical Investigation ◽  
Negative Impact ◽  
Least Square ◽  
Ordinary Least Square ◽  
Regression Methods ◽  
Significant Negative Impact ◽  
Equity Indices ◽  
The Impact ◽  
Global Stock

This study aims to explore the effect of Islamic Months specifically Ramadan and Zil-Haj on the stock returns and volatility of the Islamic Global Equity Indices. For the said purpose, the data on three Global Equity Islamic Indices including; Dow Jones Islamic Market World Index, MSCI ACWI Islamic Index, and S&P Global BMI Shariah Index are collected from 5th Jan 2011 (1st Muharram 1432 A.H.) to 12th November 2015 (30th Muharram 1437 A.H.). Ordinary Least Square (OLS) and GARCH (1,1) regression methods are applied to analyze the impact of the Islamic months on global stock returns and volatility respectively. Empirical results reveal significant negative impact of Zil-Haj on returns and volatility of Islamic Global Equity Indices. However, no significant impact of Ramadan on returns and volatility of Islamic Global Equity Indices are revealed. These findings will be fascinating and of utmost interest amidst the researchers, investors and practitioners.

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