Seasonalities in security returns. The case of earnings announcements

V. V. Chari, Ravi Jagannathan, Aharon R. Ofer

Research output: Contribution to journalArticle

96 Scopus citations

Abstract

We document a seasonal pattern in stock returns around quarterly earnings announcement dates: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the tendency of firms with good news to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.

Original languageEnglish (US)
Pages (from-to)101-121
Number of pages21
JournalJournal of Financial Economics
Volume21
Issue number1
DOIs
StatePublished - May 1988

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