Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors

O. Miguel Villanueva () and Steven Feinstein ()
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O. Miguel Villanueva: Boston University – MET
Steven Feinstein: Crowninshield Financial Research, Inc.

Review of Quantitative Finance and Accounting, 2021, vol. 57, issue 1, No 7, 203-234

Abstract: Abstract The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, broad analyst coverage, a large number of market makers, and narrow bid-ask spread are far more likely to react significantly to earnings announcements than stocks without these characteristics. Univariate and multivariate tests compel this conclusion, but provide weaker evidence for analyst coverage.

Keywords: Earnings announcements; Cammer/Krogman factors; Securities litigation; Logit regression; Stock price reactivity; Market efficiency (search for similar items in EconPapers)
JEL-codes: G14 G18 K22 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11156-020-00943-4

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