A Study of the Duration of the Security Market Reaction to the Release of Accounting Earnings Reports

This study represents an impirical investigation of the duration of the security market reaction to the release of accounting earnings reports. Daily security market returns and daily trading volumes were examined for 303 firms for time intervals surrounding the release dates of the earnings reports issued during the three years from 1974 to 1976, inclusive in order to identify the existence of a market adjustment. The Hillmer and Yu methodology was employed to obtain estimates of the duration of the adjustment process. Return adjustments were observed and measured for 60.9% of the total announcements studied. Volume adjustments were observed and estimated for 44.1% of the cases.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Accountancy

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Defeo, Victor

• Business Administration, Accounting

Identifier

(UMI)AAI8309933

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/71373