Intraday Stock Price Reactions to Interim-Quarter Versus Fourth-Quarter Earnings Annoncements PDF Download
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Author: Jason Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study investigates intraday patterns of quarterly return-earnings relations. We find that fourth quarter announcements exhibit a lower earnings response coefficient but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. While prior short event window studies document that interim quarter earnings have greater explanatory power than fourth quarter earnings or annual earnings, our analysis indicates that the prior results may be driven by the use of two-day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements.
Author: Jason Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study investigates intraday patterns of quarterly return-earnings relations. We find that fourth quarter announcements exhibit a lower earnings response coefficient but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. While prior short event window studies document that interim quarter earnings have greater explanatory power than fourth quarter earnings or annual earnings, our analysis indicates that the prior results may be driven by the use of two-day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements.
Author: Benjamin Schmitt
Publisher: GRIN Verlag
ISBN: 3656972419
Category : Business & Economics
Languages : en
Pages : 57
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Book Description
Bachelor Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.1, EBS European Business School gGmbH (Finance), language: English, abstract: Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them. This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.
Author: Robert G. May
Publisher:
ISBN:
Category : Capitalists and financiers
Languages : en
Pages : 360
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Book Description
Author: Ting He
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 272
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Book Description
Prior literature documents that the fourth quarter earnings and the stock market's reactions to fourth quarter earnings news differ from those of interim quarters at the firm level. This study examines whether differential market reactions to quarterly earnings news at the firm level extend to the market level. In contrast to previous firm-level findings, I find that aggregate fourth quarter earnings-return relations are stronger than aggregate interim quarter earnings-return relations. Specifically, aggregate fourth quarter earnings are negatively related to contemporaneous market returns, but there is little evidence for interim quarter earnings. In addition, the positive predictive content of annual accruals is driven by aggregate fourth quarter accruals.
Author: Yann-ching Tsai
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 174
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Book Description
Author: Charles M. C. Lee
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 50
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Book Description
Author: VICTOR L. BERNARD
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Book Description
Author: Gerald J. Lobo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study investigates the relationship between the dispersion of analysts' earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts' earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts' forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
Author: Andrew J. Senchack
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Samuel S. Tung
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
This study investigates the relationship between the dispersion of analysts? earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts? earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts? forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
