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Intraday Stock Price Reactions to Interim‐Quarter versus Fourth‐Quarter Earnings Announcements
Author(s) -
Lee Jason,
Park Chul W.
Publication year - 2000
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 - 10.1111/1468-5957.00344
Subject(s) - quarter (canadian coin) , interim , earnings , economics , stock (firearms) , econometrics , finance , engineering , history , mechanical engineering , archaeology
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.