The earnings announcement premium around the globe

被引：68

作者：

Barber, Brad M. ^{[1
]}

De George, Emmanuel T. ^{[2
]}

Lehavy, Reuven ^{[2
]}

Trueman, Brett ^{[3
]}

机构：

[1] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA

[2] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA

[3] Univ Calif Los Angeles, Anderson Grad Sch Management, Los Angeles, CA 90095 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2013年 / 108卷 / 01期

关键词：

Earnings announcement premium; International; Idiosyncratic volatility; Investor attention; STOCK RETURNS; CROSS-SECTION; INTERNATIONAL EVIDENCE; SECURITY RETURNS; TRADING VOLUME; INFORMATION; MARKETS; SEASONALITY; BETA;

D O I：

10.1016/j.jfineco.2012.10.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. A cross-country analysis finds that the premium is strongest in countries with the greatest increase in idiosyncratic volatility around the time of their firms' earnings announcements, suggesting that uncertainty over the earnings information to be disclosed is a primary driver of the global announcement premium. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：118 / 138

页数：21

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