Asset pricing on earnings announcement days

Kam Chan, Terry Marsh

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

Market betas have a strong and positive relation with average stock returns on a handful of days every year. Such unique days, defined as leading earnings announcement days (LEADs), are times when an aggregate of influential S&P 500 firms disclose quarterly earnings news early in the earnings season. The positive return-to-beta relation holds for various test portfolios, individual stocks, and Treasuries; and is robust to different data frequencies and testing procedures. On days other than LEADs, the beta-return relation is flat. We conclude that waves of early earnings announcements by large firms clustered on LEADs significantly influence asset pricing.
Original languageEnglish
Pages (from-to)1022-1042
Number of pages21
JournalJournal of Financial Economics
Volume144
Issue number3
Early online date23 Jun 2021
DOIs
Publication statusPublished - Jun 2022

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