Asset Pricing on Earnings Announcement Days

63 Pages Posted: 18 Feb 2020 Last revised: 4 May 2021

See all articles by Kam Fong Chan

Kam Fong Chan

The University of Western Australia; Financial Research Network (FIRN)

Terry Marsh

Quantal International Inc.

Date Written: February 11, 2020


Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined here as leading earnings announcement days or LEADs, are times when an aggregate of influential S&P500 firms disclose quarterly earnings news early in the earnings season. LEADs happen also to be times when institutional investors’ attention is high. The positive return-to-beta relation holds for various test portfolios, individual stocks, and Treasuries; and is robust to different data frequencies and testing procedures. On days other than LEADs, the relation between beta and average returns is flat. We conclude that waves of early earnings announcements by large firms clustered on LEADs have a significant influence on pricing individual assets.

Keywords: Capital asset pricing model; Earnings announcements; Security market line; Market beta.

JEL Classification: G10; G12; G14

Suggested Citation

Chan, Kam Fong and Marsh, Terry, Asset Pricing on Earnings Announcement Days (February 11, 2020). Available at SSRN: or

Kam Fong Chan (Contact Author)

The University of Western Australia ( email )

35 Stirling Highway
Crawley, Western Australia 6009

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

Terry Marsh

Quantal International Inc. ( email )

Two Embarcadero Center
8th Floor
San Francisco, CA 94111
United States
415-744-5301 (Phone)


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