TY - JOUR
T1 - Seasonalities in security returns. The case of earnings announcements
AU - Chari, V. V.
AU - Jagannathan, Ravi
AU - Ofer, Aharon R.
N1 - Funding Information:
*The authors thmic Gary Biddle, PatrickH ess, Robert Kcrajczyk,R obert LitzenbergerR, obert Mci&nald, Judith Rayburn, Kenneth Siieton, Rene St&, and seminar participants at the University of Minnesota, Ohio State University,a nd at the Universityo f Pennsylvaniaf or useful comments. Discussions with William Breen and the insightful commentso f an anonymous referee contributed enormously to this paper. ‘The usual disclaimer regarding an> errors applies. We gratefully acknowledge financial support from the Banking tich Center and the Accounting Research Center, Kellogg Graduate School of Management, Northwestem University Ravi Jagannathan gratefully acknowledges support from a Kellqg Research Chair. The views expressed herein are those of the authors and not necessarilyt hose of the Federal Reserve Bank of Minneapolis or the Federal Reserve System.
PY - 1988/5
Y1 - 1988/5
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=38249030124&partnerID=8YFLogxK
U2 - 10.1016/0304-405X(88)90033-5
DO - 10.1016/0304-405X(88)90033-5
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AN - SCOPUS:38249030124
SN - 0304-405X
VL - 21
SP - 101
EP - 121
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 1
ER -