Earnings-Announcement Timing Factors
50 Pages Posted: 8 Jun 2018 Last revised: 19 Jul 2023
Date Written: July 12, 2023
Contrarian anomalies have earned no premiums since 2003. Earnings announcement-timed versions of these factors, however, continue to earn substantial premiums. These factors condition on firms’ locations in their earnings calendars; they are profitable because mispricings first expand and then contract from one earnings announcement to the next. We show that this return pattern aligns with an optimism-pessimism cycle in analysts’ recommendations and that a risk-based explanation for this effect is unlikely. Our results suggest that the disappearance of unconditional anomalies does not imply that the market has become more ecient.
Keywords: Anomalies, analysts, market efficiency
JEL Classification: G12, G14, G40
Suggested Citation: Suggested Citation