Differences between Market Responses to Earnings Announcements in the 1990s V. 1960s
Posted: 13 Jul 1998
Date Written: Undated
We compare return and volume responses to earnings announcements in the early 1960s with the early 1990s. Our results show that both the absolute return and abnormal volume over day-1 and 0 is larger for 1990s announcements. Jointly, these results are consistent with the proposition that 1990s announcements have greater precision. Post-announcement abnormal volume persists for almost two weeks after an announcement in the 1990s, but only for four days after a 1960s announcement. We can attribute no obvious cause for this post-announcement volume difference.
JEL Classification: M41, G12, G14
Suggested Citation: Suggested Citation