IDEAS home Printed from https://ideas.repec.org/a/eee/scaman/v17y2001i2p187-200.html
   My bibliography  Save this article

Earnings announcements and the variability of stock returns

Author

Listed:
  • Eilifsen, Aasmund
  • Knivsflå, Kjell Henry
  • Sættem, Frode

Abstract

This article is concerned with the dissemination process of firm-specific annual earnings information in the Norwegian capital market. We find a significant reduction in stock price volatility in the post-announcement period relative to the pre-announcement period for companies traded on the Oslo Stock Exchange in the period 1990-1995. Potential explanations for this phenomenon are tested by relating the observed return volatility to changes in the volatility of the underlying business, the speed at which information is incorporated into stock prices, and the amount of noise in the price process. The empirical analyses reveal no significant changes in either the underlying business variance or the price adjustment coefficients. However, we find a significant decline in the noise term for the largest companies after the earnings release date, supporting the hypothesis that earnings announcements reduce informational asymmetries among investors.

Suggested Citation

  • Eilifsen, Aasmund & Knivsflå, Kjell Henry & Sættem, Frode, 2001. "Earnings announcements and the variability of stock returns," Scandinavian Journal of Management, Elsevier, vol. 17(2), pages 187-200, June.
    • Handle: RePEc:eee:scaman:v:17:y:2001:i:2:p:187-200
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0956522199000317
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. François Aubert, 2005. "L'Impact Des Changements De Méthodes Comptables Sur Les Rentabilites Boursieres," Post-Print halshs-00581111, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:scaman:v:17:y:2001:i:2:p:187-200. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/872/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.