Intraday Stock Price Reactions to Interim-Quarter Versus Fourth-Quarter Earnings Annoncements
Journal of Business Finance & Accounting, Volume 27, (2000-09) Issue: 7&8 Pages: 1027-1046, 1999
University of Alberta School of Business Research Paper No. 2013-1054
Posted: 2 Jul 2013
Date Written: June 1, 1999
Abstract
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.
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