Earnings-Announcement Timing Factors

50 Pages Posted: 8 Jun 2018 Last revised: 19 Jul 2023

See all articles by Juhani T. Linnainmaa

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER); Kepos Capital

Yingguang (Conson) Zhang

Peking University - Department of Finance, Guanghua School of Management

Date Written: July 12, 2023

Abstract

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

Linnainmaa, Juhani T. and Zhang, Yingguang, Earnings-Announcement Timing Factors (July 12, 2023). Available at SSRN: https://ssrn.com/abstract=3183318 or http://dx.doi.org/10.2139/ssrn.3183318

Juhani T. Linnainmaa (Contact Author)

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

HOME PAGE: http://www.tuck.dartmouth.edu/faculty/faculty-directory/juhani-linnainmaa

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Kepos Capital ( email )

620 Eighth Avenue
New York, NY 10018
United States

Yingguang Zhang

Peking University - Department of Finance, Guanghua School of Management ( email )

Beijing, Beijing 100871
China

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