Asset pricing on earnings announcement days ?

• 成果类型: Article
• 署名作者: Chan, Kam Fong; Marsh, Terry
• 署名单位: University of Western Australia; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.022
• 发表日期: 2022
• 页码: 1022-1042
• 关键词: capital asset pricing model; earnings announcements; Security market line; market beta

摘要

Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined as leading earnings announcement days (LEADs), are times when an aggregate of influential S&P 500 firms disclose quarterly earnings news early in the earnings season. 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 beta-return relation is flat. We conclude that waves of early earnings announcements by large firms clustered on LEADs significantly influence asset pricing. (c) 2021 Elsevier B.V. All rights reserved.