The earnings announcement premium around the globe
Journal
Journal of Financial Economics
Subject
Accounting
Publishing details
Publication Year
2013
Abstract
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.
Keywords
Earnings announcement premium; International; Idiosyncratic volatility; Investor attention
Available on ECCH
No
