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Quarterly Earnings Announcements and Market Risk Adjustments

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  • Su‐Jane Hsieh
  • Scott I. Jerris
  • William Kross

Abstract

We examine (1) whether there is a shift in beta for individual securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two‐day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements).

Suggested Citation

  • Su‐Jane Hsieh & Scott I. Jerris & William Kross, 1999. "Quarterly Earnings Announcements and Market Risk Adjustments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(3‐4), pages 313-336, April.
    • Handle: RePEc:bla:jbfnac:v:26:y:1999:i:3-4:p:313-336
    DOI: 10.1111/1468-5957.00258
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    Cited by:

    1. Chapman, Kimball, 2018. "Earnings notifications, investor attention, and the earnings announcement premium," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 222-243.
    2. Syed Emad Azhar Ali & Fong-Woon Lai & Rohail Hassan & Muhammad Kashif Shad, 2021. "The Long-Run Impact of Information Security Breach Announcements on Investors’ Confidence: The Context of Efficient Market Hypothesis," Sustainability, MDPI, vol. 13(3), pages 1-27, January.

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