The earnings announcement premium around the globe

• 成果类型: Article
• 署名作者: Barber, Brad M.; De George, Emmanuel T.; Lehavy, Reuven; Trueman, Brett
• 署名单位: University of California System; University of California Davis; University of Michigan System; University of Michigan; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.10.006
• 发表日期: 2013
• 页码: 118-138
• 关键词: Earnings announcement premium; International; idiosyncratic volatility; investor attention

摘要

U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. A cross-country analysis finds that the premium is strongest in countries with the greatest increase in idiosyncratic volatility around the time of their firms' earnings announcements, suggesting that uncertainty over the earnings information to be disclosed is a primary driver of the global announcement premium. (C) 2012 Elsevier B.V. All rights reserved.