Firm size and the information content of annual earnings announcements: Australian evidence

Howard Chan*, Robert Faff, Alan Ramsay

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

15 Citations (Scopus)

Abstract

We investigate the effect of firm size on the market's short-window response to annual earnings announcements for a large sample of Australian listed companies. Our research design involves regressions of unexpected earnings against unexpected returns. Non-linearity in the returns-earnings relationship is incorporated and other factors known to affect the response to earnings announcements are controlled for. Contrary to prior US research, our results show that firm size has either no effect on the response to earnings announcements (3 day window) or the response is significantly stronger for larger firms (twenty-one day window). The information content of earnings announcements is present across firm size categories but the nature of the response differs with firm size and context.

Original languageEnglish
Pages (from-to)211-253
Number of pages43
JournalJournal of Business Finance and Accounting
Volume32
Issue number1-2
DOIs
Publication statusPublished - Jan 2005
Externally publishedYes

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