The effect of the summer doldrums on earnings announcement returns and ERC's.

详细信息   

• 作者：Gaynor ; Gregory B.
• 学历：Doctor
• 年：2011
• 导师：Morton, Richard,eadvisorZuehlke, Thomasecommittee memberBillings, Bruceecommittee memberZhang, Timecommittee member
• 毕业院校：The Florida State University
• Department：Accounting
• ISBN：9781267262196
• CBH：3502846
• Country：USA
• 语种：English
• FileSize：908169
• Pages：74

文摘

Conventional wisdom, as well as recent research (Hong and Yu 2009), suggest that trading activity and returns decrease during the summer months, possibly due to decreased market participation by net-buying noise traders. I extend previous research by specifically testing for differences in returns in the period surrounding both summer and non-summer earnings announcements. I document lower abnormal returns surrounding summer earnings announcements compared to non-summer announcements. My results suggest that this difference in abnormal returns is greater in the online-trading period&mdash；an era characterized by increased noise trading. However, I do not find this difference between summer and non-summer announcement-period returns to be related to a firm's analyst following, market-to-book ratio, or the summer vs. non-summer difference in a firm's announcement-period trading volume. In addition, I do not find evidence that the summer vs. non-summer difference in announcement-period returns is affected by the level of unexpected earnings revealed in the earnings announcement.