Quarterly Earnings Announcements and Market Risk Adjustments

Su‐Jane Hsieh, Scott I. Jerris and William Kross

Journal of Business Finance & Accounting, 1999, vol. 26, issue 3‐4, 313-336

Abstract: We examine (1) whether there is a shift in beta for individual securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two‐day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements).

Date: 1999
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