Coup or Crime? The Case of Carlos Ghosn
Teaching Note for HBS No. 119-096.
Citation:
Dey, Aiyesha, and Jonas Heese. "Coup or Crime? The Case of Carlos Ghosn." Harvard Business School Teaching Note 119-097, April 2019. View Details|
Article Journal of Accounting & Economics July 2007 Earnings Announcement Premia and Limits to Arbitrage |
Abstract
We examine the factors underlying the presence of earnings announcement premia. We find that the premia persist beyond the sample period examined in prior studies (ending in 1988), although they decline in magnitude after 1988. Further, premia are lower on the expected than the actual earnings announcement dates. We document that increases in voluntary disclosures result in lower premia, despite the increase in return volatility over time. Finally, our evidence suggests that the premia are not completely eliminated because of the costs of arbitrage.
Keywords: Business Earnings; Announcements; Corporate Disclosure;
Citation:
Cohen, Daniel, Aiyesha Dey, Thomas Lys, and Shyam Sunder. "Earnings Announcement Premia and Limits to Arbitrage." Journal of Accounting & Economics 43, nos. 2-3 (July 2007): 153–180.
