Earnings announcements and the variability of stock returns

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Eilifsen, Aasmund; Knivsflå, Kjell Henry; Sættem, Frode;
(1999)
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Journal: issn: 1500-4066
  • Publisher copyright policies & self-archiving
  • Subject: dissemination of information | stock return volatility | earnings announcements | variance decomposition

This paper is concerned with the dissemination process of firm-specific annual earnings information in the Norwegian capital market. We find a significant reduction in stock price volatility in the post-announcement period relative to the pre-announcement period for com... View more
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