Answers are grounded in this paper and cite their sources.
Examines risk, return and abnormal return behavior in the days around quarterly earnings announcements, using a research design that allows risk to vary daily in event time. Result of the tests conducted on several hypotheses concerning the effect on security prices of earnings announcements; Investigation whether cross-sectional variation in announcement-period risks and returns is a function of firm size.
No takes yet. Share an insight, caveat, or question.
Ball et al. (1991) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: