Seasonalities in security returns

V. V. Chari; Ravi Jagannathan; Aharon R. Ofer

doi:10.1016/0304-405x(88)90033-5

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Journal of Financial Economics Vol. 21 No. 1 1988

Seasonalities in security returns

V. V. Chari^1,2,3,4; Ravi Jagannathan^1,2,3,4; Aharon R. Ofer^1,2,3,4

¹ Northwestern University · ² University of Minnesota · ³ Federal Reserve Bank of Minneapolis · ⁴ Tel Aviv University

Abstract

We document a seasonal pattern in stock returns around quarterly earnings announcement dates: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the tendency of firms with good news to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.

DOI: 10.1016/0304-405x(88)90033-5
Volume: 21
Issue: 1
Pages: 101-121
Language: en
Sources: bibtex:phds-export.bib crossref openalex

Seasonalities in security returns

Abstract

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