Statistics Seminar: STA 290
Thursday, October 6th at 4.10pm, MSB 1147 (Colloquium Room)
Speaker: Brad Barber (Graduate School of Management, UC Davis)
Title: The earnings announcement premium around the globe
Abstract: U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Using data from 46 countries, we find that the average stock return during earnings announcement months exceeds the return during non-announcement months by over 11 percent annually, after controlling for factors known to be associated with stock returns. The positive incremental return during earnings announcement months is not isolated to a few years; it is significant for 16 of the 20 years of our sample period. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to conduct a within-country analysis, nine exhibit a significantly positive premium. We also document that the premium for the smallest stocks exceeds that for the largest ones, by roughly 6 percent annually. As to potential explanations for the premium, we find evidence of an increase in the attention paid to firms around the time of earnings releases, creating upward pressure on stock prices. However, there is no evidence that higher levels of systematic or idiosyncratic risk around the time of earnings releases is a significant driver of the premium.