34 pages matching quarterly earnings announcement in this book
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0LSM 1975 Compustat abnormal returns Accounting Research adjusted cumulative excess announcement is chosen Average daily returns average excess return average squared standardized Bottom size decile chosen randomly clustered in calendar Compustat tape CRSP tape cumulative excess returns cumulative return described in section earnings announcement dates equally weighted portfolio estimation period event day Financial Economics firms that announce increased variance Journal of Accounting Journal of Financial large firms largest firms late announcements levels is denoted model excess returns normal distribution Northwestern University null hypothesis OLSM model excess percent level quarterly earnings announcement random sample randomly per trading rate of return return from day returns are positive returns are significantly returns around earnings significantly different significantly positive small firms smallest firms smallest size decile squared standardized residuals standard deviation stock price study period survivorship bias t-statistics are computed Table three-day cumulative excess trading day true variance V. V. Chari Volatility of excess