Abstract

http://ssrn.com/abstract=1872183
 
 

References (26)



 
 

Citations (4)



 


 



The Earnings Announcement Premium Around the Globe


Brad M. Barber


University of California, Davis

Emmanuel T. De George


London Business School; Stephen M. Ross School of Business, University of Michigan

Reuven Lehavy


University of Michigan, Stephen M. Ross School of Business

Brett Trueman


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

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.

Number of Pages in PDF File: 49

Keywords: earnings announcement premium, international, attention

JEL Classification: G14, G15, M41

working papers series


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Date posted: June 26, 2011 ; Last revised: May 31, 2012

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: http://ssrn.com/abstract=1872183 or http://dx.doi.org/10.2139/ssrn.1872183

Contact Information

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
London Business School ( email )
Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 8150 (Phone)
Stephen M. Ross School of Business, University of Michigan ( email )
701 Tappan Street
Ann Arbor, MI 48104
United States
HOME PAGE: http://www.sitemaker.umich.edu/edegeorge/home
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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References:  26
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