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| Author: | Cohen, D.A. (et al.) |
| Title: | Earnings announcement premia and the limits to arbitrage |
| Journal: | Journal of Accounting & Economics
2007 : JUL, VOL. 43:2-3, p. 153-180 |
| Index terms: | accounting finance earnings disclosure arbitrage |
| Freeterms: | announcements |
| Language: | eng |
| Abstract: | This paper explores the factors underlying the presence of earnings announcement (hereafter as: e-annct.) premia. Quarterly e-annct. dates are collected from the COMPUSTAT quarterly file from 1980 to 2001 to yield a maximum of 88 quarters for each of the sample firms, finally in total of more than 7.200 firms and over 227.000 firm-quarter observations. It is found that the premia persist beyond the sample period examined in prior studies (ending in 1988), although declining in magnitude after 1988. Further, premia are lower on the expected than the actual dates of e-annct. Increases in voluntary disclosures are documented to result in lower premia, in spite of the increase in return volatility over time. It is suggested that the premia are not completely eliminated due to arbitrage costs. |
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