Realized moments and the cross-sectional stock returns around earnings announcements

Wang, Qingxia ORCID: https://orcid.org/0000-0003-0626-1538 and Faff, Robert and Zhu, Min (2022) Realized moments and the cross-sectional stock returns around earnings announcements. International Review of Economics and Finance, 79. pp. 408-427. ISSN 1059-0560


Abstract

We examine the predictability of realized measures on the cross-section of stock returns around earnings announcements. We construct realized measures (variance, skewness, kurtosis, and relative jump) using high-frequency intraday stock prices. Our results show that realized variance, skewness, and relative jumps strongly predict stock returns around earnings announcements but realized kurtosis does not. These findings are robust to various event windows, after controlling for firm characteristics, and to a range of additional tests. We further show that the predictability of realized measures is not affected by unexpected earnings. The findings also suggest that pre-announcement realized measures absorb part of the information contained in unexpected earnings.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Faculty/School / Institute/Centre: Current - Institute for Life Sciences and the Environment - Centre for Applied Climate Sciences (1 Aug 2018 -)
Faculty/School / Institute/Centre: Current - Institute for Life Sciences and the Environment - Centre for Applied Climate Sciences (1 Aug 2018 -)
Date Deposited: 28 Mar 2022 02:33
Last Modified: 28 Mar 2022 02:33
Uncontrolled Keywords: Cross-sectional stock returns; Earnings announcements; Realized measures
Fields of Research (2020): 38 ECONOMICS > 3802 Econometrics > 380202 Econometric and statistical methods
38 ECONOMICS > 3802 Econometrics > 380204 Panel data analysis
35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3507 Strategy, management and organisational behaviour > 350710 Organisational behaviour
38 ECONOMICS > 3802 Econometrics > 380203 Economic models and forecasting
38 ECONOMICS > 3802 Econometrics > 380201 Cross-sectional analysis
38 ECONOMICS > 3801 Applied economics > 380107 Financial economics
Identification Number or DOI: https://doi.org/10.1016/j.iref.2022.02.036
URI: http://eprints.usq.edu.au/id/eprint/47393

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