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Quarterly Earnings Announcements and Market Risk Adjustments
Author(s) -
Hsieh SuJane,
Jerris Scott I.,
Kross William
Publication year - 1999
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00258
Subject(s) - earnings , beta (programming language) , post earnings announcement drift , sample (material) , business , demographic economics , economics , monetary economics , earnings response coefficient , accounting , chemistry , chromatography , computer science , programming language
We examine (1) whether there is a shift in beta for individual securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two‐day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements).