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| Author: | Alegria, C. McKenzie, G. Wolfe, S. |
| Title: | Earnings announcements by UK companies: Evidence of extreme events |
| Journal: | European Journal of Finance
2009 : JAN/FEB, VOL. 15:1-2, p. 137-156 |
| Index terms: | stock markets market efficiency earnings information companies United Kingdom event studies |
| Language: | eng |
| Abstract: | This paper examines the abnormal share return dispersion happening when companies announce their interim or final earnings. There is strong empirical evidence supporting an abnormal dispersion of share returns on event dates. Furthermore, the public announcements are found to be sources of extreme share price movements. The study aims at identifying factors underlying the leptokurtosis that is traditionally found in time series stock market returns. Based on a data sample of interim and full year results for mid-to-large capitalisation U.K. companies from 1984 to 2005, there is found no evidence of market inefficiency around the event date, or straightforward arbitrage opportunities on the event date. However, using Paretian statistics, the abnormal return dispersion on the event date is found to be three times higher than on normal non-event days. |
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