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Seasonalities in Security Returns: the Case of Earnings Announcements, Journal of Financial Economics

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.

Type

Article

Author(s)

V. V. Chari, Ravi Jagannathan, Aharon Ofer

Date Published

1988

Citations

Chari, V. V., Ravi Jagannathan, and Aharon Ofer. 1988. Seasonalities in Security Returns: the Case of Earnings Announcements. Journal of Financial Economics. 21(1): 101-121.

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