|
|
|
|
||||
|
||||
Earnings Announcement Premia and the Limits to ArbitrageDaniel A. CohenUniversity of Texas at Dallas - Naveen Jindal School of Management Aiyesha DeyUniversity of Minnesota - Carlson School of Management Thomas Z. LysNorthwestern University - Kellogg School of Management Shyam V. SunderUniversity of Arizona Forthcoming, Journal of Accounting & Economics (JAE) Abstract: We examine the factors underlying the presence of earnings announcement premia. We find that the premia persist beyond the sample period examined in prior studies (ending in 1988), although they decline in magnitude after 1988. Further, premia are lower on the expected than the actual earnings announcement dates. We document that increases in voluntary disclosures result in lower premia, despite the increase in return volatility over time. Finally, our evidence suggests that the premia are not completely eliminated because of the costs of arbitrage.
Keywords: Earnings Announcements, Announcement Premium, Preannouncements JEL Classification: G12, G14, M41, M45 Accepted Paper SeriesDate posted: April 9, 2007Suggested CitationContact Information
|
|
||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.860 seconds
