Stock Price Reactivity to Earnings Announcements: The Role of Cammer/Krogman Factors

52 Pages Posted: 14 Jan 2019 Last revised: 23 Sep 2019

See all articles by Miguel Villanueva

Miguel Villanueva

Crowninshield Financial Research; Boston University - MET

Steven P. Feinstein

Babson College - Finance Division

Date Written: September 2019

Abstract

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

Suggested Citation

Villanueva, Miguel and Feinstein, Steven P., Stock Price Reactivity to Earnings Announcements: The Role of Cammer/Krogman Factors (September 2019). Available at SSRN: https://ssrn.com/abstract=3309942 or http://dx.doi.org/10.2139/ssrn.3309942

Miguel Villanueva (Contact Author)

Crowninshield Financial Research ( email )

56 Harvard St
Brookline, MA 02445
United States
7812374800 (Phone)

Boston University - MET ( email )

United States

Steven P. Feinstein

Babson College - Finance Division ( email )

Babson Park, MA 02457-0310
United States

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