Seasonalities in security returns. The case of earnings announcements

V. V. Chari*, Ravi Jagannathan, Aharon R. Ofer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)101-121
Number of pages21
JournalJournal of Financial Economics
Issue number1
StatePublished - May 1988


FundersFunder number
Accounting Research Center
Banking tich Center
Kellogg Graduate School of Management, Northwestem University
Kellqg Research Chair


    Dive into the research topics of 'Seasonalities in security returns. The case of earnings announcements'. Together they form a unique fingerprint.

    Cite this