Regularities in the equity price response to earnings announcements in Spain

Maria Jose Arcas Pellicer and William Page Rees

European Accounting Review, 1999, vol. 8, issue 4, 585-607

Abstract: This paper studies the market's reaction to 660 earnings announcements made during the period 1991-95 in Spain. This period starts shortly after the completion of the revision of Spanish financial accounting practices to bring them into line with EC requirements. As expected, we find that the earnings disclosures are accompanied by abnormal volatility; however, we also discover positive abnormal returns and an upward shift in beta. Furthermore, both expected and unexpected changes in earnings have explanatory power for abnormal returns accompanying earnings announcements - although this result is largely driven by the smaller firms in the sample. This evidence is consistent with a change in the risk-return relationship and with unsophisticated investors neglecting value-relevant information.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096381899335727 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:euract:v:8:y:1999:i:4:p:585-607

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REAR20

DOI: 10.1080/096381899335727

Access Statistics for this article

European Accounting Review is currently edited by Laurence van Lent

More articles in European Accounting Review from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().