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Title:A Study of the Duration of the Security Market Reaction to the Release of Accounting Earnings Reports
Author(s):Defeo, Victor
Department / Program:Accountancy
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Business Administration, Accounting
Abstract: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.
Empirically testable hypotheses, which suggest that the duration of the response accompanying the release of the annual report should exceed that accompanying the prior three quarterly reports, were derived from the model formulated by Verrecchia {1981}. The evidence obtained from this study provides weak support for these hypotheses.
The sample was divided into three groups based upon the size (market value) of the firms. Then, the duration of the market responses for the three groups were compared. That comparison revealed statistically significant differences between the durations of the market reactions, as measured by both the return and the volume adjustments, for large firms and for small firms. Specifically, the duration of the market's reaction for large firms was significantly greater than that for small firms.
Issue Date:1983
Description:163 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1983.
Other Identifier(s):(UMI)AAI8309933
Date Available in IDEALS:2014-12-16
Date Deposited:1983

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