Anomalous stock returns around Internet firms' earnings announcements

• 成果类型: Article; Proceedings Paper
• 署名作者: Trueman, B; Wong, MHF; Zhang, XJ
• 署名单位: University of California System; University of California Berkeley; University of Chicago
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/S0165-4101(02)00092-7
• 发表日期: 2003
• 关键词: SECURITY RETURNS; price; INFORMATION

摘要

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 I I 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. (C) 2002 Elsevier Science B.V. All rights reserved.