The earnings announcement premium around the globe

Brad Barber, Emmanuel T. De George, Reuven Lehavy and Brett Trueman

Journal of Financial Economics, 2013, vol. 108, issue 1, 118-138

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 (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:108:y:2013:i:1:p:118-138

DOI: 10.1016/j.jfineco.2012.10.006

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