To analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru Design/methodology/approach
This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings
We find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. We also find that these two effects are driven by small firms. Originality/value
This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.
Available at: http://works.bepress.com/mauricio-melgarejo/9/