Intraday Stock Price Reactions to Interim‐Quarter versus Fourth‐Quarter Earnings Announcements
研究发现第四季度盈利公告的盈利反应系数较低，但价格调整更快且解释力更高，而此前研究可能因窗口期过宽而低估了第四季度的调整速度。
This study investigates intraday patterns of quarterly return‐earnings relations. We find that fourth quarter announcements exhibit a lower earnings response coefficient but a more rapid adjustment to new equilibrium levels of prices and a higher R2 than interim quarter announcements. While prior short event window studies document that interim quarter earnings have greater explanatory power than fourth quarter earnings or annual earnings, our analysis indicates that the prior results may be driven by the use of two‐day event window that is much wider than what it takes for the market to adjust to fourth quarter announcements.