Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence

24 Pages Posted: 6 Feb 2005

See all articles by H. Chan

H. Chan

University of Melbourne - Department of Finance; Monash University - Department of Accounting

Robert W. Faff

University of Queensland

Alan L. Ramsay

Monash University - Department of Accounting

Abstract

We investigate the effect of firm size on the market's short-window response to annual earnings announcements for a large sample of Australian listed companies. Our research design involves regressions of unexpected earnings against unexpected returns. Non-linearity in the returns-earnings relationship is incorporated and other factors known to affect the response to earnings announcements are controlled for. Contrary to prior US research, our results show that firm size has either no effect on the response to earnings announcements (3 day window) or the response is significantly stronger for larger firms (twenty-one day window). The information content of earnings announcements is present across firm size categories but the nature of the response differs with firm size and context.

Suggested Citation

Chan, Howard and Faff, Robert W. and Ramsay, Alan, Firm Size and the Information Content of Annual Earnings Announcements: Australian Evidence. Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 211-253, January 2005. Available at SSRN: https://ssrn.com/abstract=661989

Howard Chan (Contact Author)

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

Robert W. Faff

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Alan Ramsay

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

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