Anomalous Stock Returns Around Internet Firms' Earnings Announcements
Posted: 5 Feb 2003
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: Suggested Citation