Stock Price Reactivity to Earnings Announcements: The Role of Cammer/Krogman Factors
52 Pages Posted: 14 Jan 2019 Last revised: 23 Sep 2019
Date Written: September 2019
The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, narrow bid-ask spread, broad analyst coverage, and a large number of market makers, are far more likely to react significantly to earnings announcements than stocks without these characteristics. Both univariate and multivariate tests compel this conclusion.
Keywords: Earnings announcements, Cammer/Krogman factors, securities litigation, logit regression, stock price reactivity, market efficiency
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