Report
Seasonalities in security returns: the case of earnings announcements
Jagannathan, Ravi; Chari, V. V.; Ofer, Aharon R. (1987)
An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be accounted for by the fact that firms with good news tend to announce early. Large firms show no abnormal returns around announcement dates and a much smaller increase in variability.
Staff Report , Paper 110