Premium
THE INFORMATION CONTENT OF SIGN AND SIZE OF EARNINGS ANNOUNCEMENTS: NEW ZEALAND EVIDENCE
Author(s) -
Emanuel David M.
Publication year - 1984
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.1984.tb00059.x
Subject(s) - earnings , econometrics , business , post earnings announcement drift , martingale (probability theory) , monetary economics , earnings response coefficient , financial economics , economics , accounting , statistics , mathematics
Abstract: This paper examines the effect of 1196 earnings announcements on share prices, using the familiar cumulative abnormal return method of analysis. Earnings are partitioned into unexpected earnings increases and decreases using a martingale model. As well, six portfolios are established, based on the size of unexpected earnings, using two different measures of size.