Anomalous Stock Returns Around Internet Firms' Earnings Announcements

Posted: 5 Feb 2003

See all articles by Brett Trueman

Brett Trueman

University of California, Los Angeles (UCLA) - Anderson School of Management

M.H. Franco Wong

University of Toronto - Rotman School of Management

Xiao-Jun Zhang

University of California, Berkeley - Accounting Group; China Academy of Financial Research (CAFR)

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Abstract

This paper presents evidence of anomalies in internet firms' stock returns surrounding their quarterly earnings announcements. There is a general runup in prices in the days prior to the earnings announcements, followed by a price reversal lasting for several days. The magnitude of the market-adjusted returns associated with these price movements exceeds 11 percent over a 10-day period. We find little evidence to suggest that these returns can be explained either by the earnings news disclosed or by risk changes. Additional analyses suggest that these return patterns are driven, at least in part, by price pressure.

Keywords: capital market, internet, stock returns, earnings announcement, price pressure

JEL Classification: M41, G14

Suggested Citation

Trueman, Brett and Wong, M.H. Franco and Zhang, Xiao-Jun, Anomalous Stock Returns Around Internet Firms' Earnings Announcements. Journal of Accounting and Economics, Vol. 34, Nos. 1-3, pp. 249-271, January 2003. Available at SSRN: https://ssrn.com/abstract=377561

Brett Trueman (Contact Author)

University of California, Los Angeles (UCLA) - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
310-825-4720 (Phone)
310-267-2193 (Fax)

M.H. Franco Wong

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-946-0729 (Phone)

HOME PAGE: http://www.rotman.utoronto.ca/FacultyAndResearch/Faculty/FacultyBios/Wong.aspx

Xiao-Jun Zhang

University of California, Berkeley - Accounting Group ( email )

545 Student Services Building
SPC 1900
Berkeley, CA 94720
United States
(510) 642-4789 (Phone)
(510) 642-4700 (Fax)

China Academy of Financial Research (CAFR)

1954 Huashan Road
Shanghai P.R.China, 200030
China

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