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- W154631729 abstract "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 or no 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 the event date. 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 extensive literature published 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. JEL Classification codes: G14, G11" @default.
- W154631729 created "2016-06-24" @default.
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- W154631729 date "2006-01-01" @default.
- W154631729 modified "2023-09-26" @default.
- W154631729 title "Analysis of extreme events occurring when interim and final results are announced by UK companies" @default.
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