Staff Report 110

Seasonalities in Security Returns: The Case of Earnings Announcements

V. V. Chari | Consultant
Aharon R. Ofer
Ravi Jagannathan

Published April 1, 1987

An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the fact that firms with good news tend to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.

Published In: Journal of Financial Economics (Vol. 21, No. 1, May 1988, pp. 101-121)

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