File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Intraday stock price reactions to interim-quarter versus fourth-quarter earnings announcements

TitleIntraday stock price reactions to interim-quarter versus fourth-quarter earnings announcements
Authors
Issue Date2000
PublisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JBFA
Citation
Journal Of Business Finance And Accounting, 2000, v. 27 n. 7-8, p. 1027-1046 How to Cite?
AbstractThis study empirically investigates intraday patterns of quarterly return-earnings relations. We find that fourth quarter announcements exhibit a lower ERC but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. However, our empirical evidence is fairly weak because the difference in the time speed of initial adjustment is only 60 minutes and the significant difference in the R2s is observed only two out of 13 intraday intervals. Nevertheless, our analysis indicates that the prior evidence of interim quarter earnings having greater explanatory power than fourth quarter earnings or annual earnings may be driven by the use of a two-day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements. Thus, our results are consistent with the conjecture of Brown, Clinch, and Foster (1992) in that the use of intraday returns reduces noise introduced by confounding events and hence increases the explanatory power of earnings around the time of earnings announcements. Our analysis also shows that fourth quarter announcements have a lower ERC because of lower predictability of fourth quarter earnings (Collins, Hopwood and McKeown, 1984). Overall, our results indicate the need for using intraday data and shorter event windows to precisely determine the market's response to informational events. © Blackwell Publishers Ltd. 2000.
Persistent Identifierhttp://hdl.handle.net/10722/177959
ISSN
2015 Impact Factor: 0.837
2015 SCImago Journal Rankings: 0.716
References

 

DC FieldValueLanguage
dc.contributor.authorLee, Jen_US
dc.contributor.authorPark, CWen_US
dc.date.accessioned2012-12-19T09:40:59Z-
dc.date.available2012-12-19T09:40:59Z-
dc.date.issued2000en_US
dc.identifier.citationJournal Of Business Finance And Accounting, 2000, v. 27 n. 7-8, p. 1027-1046en_US
dc.identifier.issn0306-686Xen_US
dc.identifier.urihttp://hdl.handle.net/10722/177959-
dc.description.abstractThis study empirically investigates intraday patterns of quarterly return-earnings relations. We find that fourth quarter announcements exhibit a lower ERC but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. However, our empirical evidence is fairly weak because the difference in the time speed of initial adjustment is only 60 minutes and the significant difference in the R2s is observed only two out of 13 intraday intervals. Nevertheless, our analysis indicates that the prior evidence of interim quarter earnings having greater explanatory power than fourth quarter earnings or annual earnings may be driven by the use of a two-day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements. Thus, our results are consistent with the conjecture of Brown, Clinch, and Foster (1992) in that the use of intraday returns reduces noise introduced by confounding events and hence increases the explanatory power of earnings around the time of earnings announcements. Our analysis also shows that fourth quarter announcements have a lower ERC because of lower predictability of fourth quarter earnings (Collins, Hopwood and McKeown, 1984). Overall, our results indicate the need for using intraday data and shorter event windows to precisely determine the market's response to informational events. © Blackwell Publishers Ltd. 2000.en_US
dc.languageengen_US
dc.publisherBlackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/JBFAen_US
dc.relation.ispartofJournal of Business Finance and Accountingen_US
dc.titleIntraday stock price reactions to interim-quarter versus fourth-quarter earnings announcementsen_US
dc.typeArticleen_US
dc.identifier.emailPark, CW: acparkc@hku.hken_US
dc.identifier.authorityPark, CW=rp01090en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1111/1468-5957.00344en_US
dc.identifier.scopuseid_2-s2.0-3142618711en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-3142618711&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume27en_US
dc.identifier.issue7-8en_US
dc.identifier.spage1027en_US
dc.identifier.epage1046en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridLee, J=7601469917en_US
dc.identifier.scopusauthoridPark, CW=37062708100en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats