The Earnings Announcement Return Cycle

  title={The Earnings Announcement Return Cycle},
  author={Juhani T. Linnainmaa and Conson Zhang},
  journal={USC Marshall School of Business Research Paper Series},
Stocks earn significantly negative abnormal returns before earnings announcements and positive after them. This "earnings announcement return cycle" (EARC) is unrelated to the earnings announcement premium, and it is a feature of stocks widely covered by analysts. Analysts' forecasts follow the same pattern as returns: analysts' forecasts become more optimistic after an earnings announcement and more pessimistic as the next one draws near. We attribute one-half of the earnings announcement… Expand
Asset Pricing around Earnings Announcement Days
Expectations Management and Stock Returns
Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain