Earnings announcements by UK companies: evidence of extreme events?

Wolfe, S., Alegria, C. and Mckenzie, G. (2008) Earnings announcements by UK companies: evidence of extreme events? , Southampton, UK University of Southampton (University of Southampton Discussion Paper Series: Accounting and Finance).


Full text not available from this repository.


This paper investigates the abnormal share return dispersion occurring when companies announce their interim or final earnings. Whereas, prior research has focused on abnormal returns, little attention has been given to investigating the dispersion of the abnormal returns. We find strong empirical evidence supporting an abnormal dispersion of share returns on event dates. Moreover, we find that these public announcements are sources of extreme share price movements. Our study provides a step forward in identifying factors underlying the leptokurtosis that is traditionally found in time series stock market returns. Our data sample is comprised of interim and full year results for mid to large capitalisation UK companies for the period (1984-2005). Consistent with the extant literature on this subject, we find no evidence of market inefficiency around the event date, or straightforward arbitrage opportunities on the event date. However, we find using Paretian statistics that the abnormal return dispersion on the event date is 3 times higher than on normal non-event days.

Item Type: Monograph (Discussion Paper)
Related URLs:

ePrint ID: 58543
Date :
Date Event
Date Deposited: 19 Aug 2008
Last Modified: 16 Apr 2017 17:36
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/58543

Actions (login required)

View Item View Item