Impact of Earnings Announcements for Dow Jones Index Stocks

10 Pages Posted: 25 Feb 2020

See all articles by Anatoly B. Schmidt

Anatoly B. Schmidt

Financial Risk and Engineering, NYU School of Engineering

Date Written: February 12, 2020

Abstract

A regression model for analysis of impact of earnings announcements on stock prices has been formulated. An equal-weight portfolio of 29 stocks that constituted DJI in Oct 2019 is considered within the range Jan 1999 – Sep 2019. It is found that out-performance around the earnings announcements is the highest when the portfolio is liquidated on the next day after announcements. Short holding periods have the highest average returns. In this case, however, the differences between returns around and outside earnings become statistically insignificant when the top 10% performers are dropped from the portfolio. Earnings surprises for individual DJI constituents are analyzed.

Keywords: Earnings Announcements, Regression Model

JEL Classification: G12, G14

Suggested Citation

Schmidt, Anatoly B., Impact of Earnings Announcements for Dow Jones Index Stocks (February 12, 2020). Available at SSRN: https://ssrn.com/abstract=3537660 or http://dx.doi.org/10.2139/ssrn.3537660

Anatoly B. Schmidt (Contact Author)

Financial Risk and Engineering, NYU School of Engineering ( email )

NY
United States

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