The Earnings Announcement Premium Around the Globe

49 Pages Posted: 26 Jun 2011 Last revised: 31 May 2012

See all articles by Brad M. Barber

Brad M. Barber

University of California, Davis

Emmanuel T. De George

University of Miami - Department of Accounting

Reuven Lehavy

University of Michigan, Stephen M. Ross School of Business

Brett Trueman

University of California, Los Angeles (UCLA) - Anderson School of Management

Date Written: May 30, 2012

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. Using data from 46 countries, we find that the average stock return during earnings announcement months exceeds the return during non-announcement months by over 11 percent annually, after controlling for factors known to be associated with stock returns. The positive incremental return during earnings announcement months is not isolated to a few years; it is significant for 16 of the 20 years of our sample period. 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, attention

JEL Classification: G14, G15, M41

Suggested Citation

Barber, Brad M. and De George, Emmanuel T. and Lehavy, Reuven and Trueman, Brett, The Earnings Announcement Premium Around the Globe (May 30, 2012). Available at SSRN: https://ssrn.com/abstract=1872183 or http://dx.doi.org/10.2139/ssrn.1872183

Brad M. Barber

University of California, Davis ( email )

Graduate School of Management
One Shields Avenue
Davis, CA 95616
United States
530-752-0512 (Phone)
530-752-2924 (Fax)

Emmanuel T. De George

University of Miami - Department of Accounting ( email )

Coral Gables, FL 33146-6531
United States
305-284-2273 (Phone)

Reuven Lehavy

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI 48109
United States
734-763-1508 (Phone)
734-936-0282 (Fax)

Brett Trueman (Contact Author)

University of California, Los Angeles (UCLA) - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
310-825-4720 (Phone)
310-267-2193 (Fax)

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