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Creator: Chari, V. V., Jagannathan, Ravi, and Ofer, Aharon R. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 110 Abstract:
An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the fact that firms with good news tend to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.
Creator: Chari, V. V., Jagannathan, Ravi, and Ofer, Aharon R. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 364 Abstract:
The fiscal year and the calendar year coincide for a large fraction of firms traded in the New York and American Stock Exchanges. It is therefore possible that part of the large positive abnormal return earned by stocks as a group during the first week of trading in January may be due to temporal resolution of uncertainty accompanying the end of the fiscal year. We study this hypothesis by examining whether stocks of firms with fiscal years ending in months other than December also realize positive abnormal returns, following the end of their fiscal years. We find that there are no excess returns for such firms in the first five trading days following the end of the fiscal year.
Mot-clé: Positive abnormal returns, Excess returns, Stock returns, Fiscal year, Cyclical behavior, and January effect Assujettir: G12 - Asset Pricing; Trading Volume; Bond Interest Rates and E32 - Business Fluctuations; Cycles