THE INFORMATION CONTENT OF SIGN AND SIZE OF EARNINGS ANNOUNCEMENTS: NEW ZEALAND EVIDENCE |
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Authors: | David M. Emanuel |
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Abstract: | This paper examines the effect of 1196 earnings announcements on share prices, using the familiar cumulative abnormal return method of analysis. Earnings are partitioned into unexpected earnings increases and decreases using a martingale model. As well, six portfolios are established, based on the size of unexpected earnings, using two different measures of size. |
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