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Date Submitted: 02/18/2011 01:27 PM
1) Abnormal returns to investment strategies based on the timing of earnings reports
Stephen H. Penman*
University of California, Berkeley, Berkeley, CA 94720, USA
Available online 25 November 2002.
Abstract
This paper adds to recent evidence on market inefficiency in processing information in earnings reports. It documents that short positions taken in sample stocks which did not report earnings by the date expected during the sample period, 1971–1976, would have been abnormally profitable, before transaction costs. This is because late reports, on average, revealed bad news which was not anticipated in market prices prior to the report date. The magnitude of the average abnormal returns is in the order of 1.0% over 20 days but is larger for smaller firms in the sample and positively related to the length of the reporting delay. The paper also documents that long positions taken in stocks reporting early with good news would have generated abnormal returns of approximately 1.0% on average over a 20-day holding period.
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http://econpapers.repec.org/article/eeejaecon/v_3a6_3ay_3a1984_3ai_3a3_3ap_3a165-183.htm
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2) The Credit Default Swap Market’s Reaction to Earnings Announcements
by Caitlin Ann Greatrex
Discussion Paper No: 2008-06
March 2008
Department of Economics
Fordham University
441 E Fordham Rd, Dealy Hall
Bronx, NY 10458
(718) 817-4048
This paper examines the efficiency of the CDS market by conducting a comparative
event study in which both the CDS and the stock markets‟ responses to earnings
announcements are considered. I find that both markets have statistically significant
reactions to earnings announcements and both markets anticipate these informational
events up to 90 trading days prior to announcement. I further find that neither markets‟
reaction to earnings announcements is...