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 language | English |
|---|---|
| Pages (from-to) | 1022-1042 |
| Number of pages | 21 |
| Journal | Journal of Financial Economics |
| Volume | 144 |
| Issue number | 3 |
| Early online date | 23 Jun 2021 |
| DOIs | |
| Publication status | Published - Jun 2022 |
Fingerprint
Dive into the research topics of 'Asset pricing on earnings announcement days'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver